black-scholes topic

Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financi...

jkirkby3

Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Maringer and E. Schumann (2019, ISBN:978-0128150658). This repos...

enricoschumann

An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies

jirotubuyaki

Implementations of Leading Algorithms in Quantitative Finance

Michalos88

Differential equation problem specifications and scientific machine learning for common financial models

SciML

Typescript math library for cumulative distributions, black-scholes, and the RMM trading function.

primitivefinance

Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estimate and likelihood ratio methods. Lastly, implemented binomial t...

hongwai1920

Case Studies in Finance: Stock Price Valuation using Black-Scholes using Brownian Motions, Investment Project comparing Stocks and Bonds, Determining Pension Fund's Premium. (Case Study Papers and Cod...

TatevKaren

Python code for solving partial differential equations (PDEs) using deep learning. Specifically, we provide implementations for solving the following PDEs

Mephistopheles-0

Option pricing and Delta hedging performance comparison between Black and Scholes vs Artificial Neural Network

cate-art