Collection of notebooks about quantitative finance, with interactive python code.

Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

European/American/Asian option pricing module. BSM/Monte Carlo/Binomial

Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2017 (e.g., the method for computing the price of American call options and the construction of the early exercise premium in the Black-Scholes-Merton framework from section 18.4 in SMAP).

Implementation of Monte Carlo simulations and Black-Scholes method to calculate prices for American and European options respectively.

Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possible, even though certain models have their own Machine Learning Model with assessment and performance.

Financial Analytics on GPU

A Program to calculate the price of American put or call option with Least Square Monte Carlo

Pricing American style option by estimating optimal stopping time using deep learning

A C++ application of the Crank Nicolson scheme for pricing dividend paying American Options by means of the Green Function

This repository contains pricing methods for equity European and American options. Monte Carlo and tree methods have been implemented for Black Scholes extensions (standard, with discrete dividend, and with single and double Normal jumps for corporate actions). This repository also contains an implementation of a Differential Evolution algorithm…

Asian, American, European and barrier option pricing

This is an example of a program that creates a binomial tree to calculate the prices of a standard European put and an American put (assuming it can be exercised only in the last quarter of the option's life).

Accompanying C++ code for the TastyHedge blog

Pricing American Options, Asian Options, Lookback Options, and Floating Lookback Options using Monte-Carlo Simulation and Binomial Lattice approaches.

Lab assignments of Financial Engineering Course MA374

Lattice/tree pricing methods for European and American options

Secondary band prediction model

An american option pricer based on neural network regression.

Comparative Analysis of Dual Algorithms for high-dimensional Stopping Problems