Ecosyste.ms: Repos

An open API service providing repository metadata for many open source software ecosystems.

GitHub topics: black-scholes

Repositories

TechfaneTechnologies/risk_free_interest_rate

A Python Script To Fetch The Government Securities T-Bills Interest Rates From RBI Website.

Language: Python - Size: 104 KB - Last synced: 3 days ago - Pushed: 3 days ago - Stars: 21 - Forks: 7

PontusHovb/Financial-Mathematics

Scripts for different concepts in financial mathematics, including interest rate swaps, Black Scholes and binomial models for option pricing

Language: Python - Size: 22.5 KB - Last synced: 2 days ago - Pushed: 3 days ago - Stars: 1 - Forks: 0

PyFE/PyFENG

Python Financial ENGineering (PyFENG package in PyPI.org)

Language: Python - Size: 3.32 MB - Last synced: 7 days ago - Pushed: 7 days ago - Stars: 129 - Forks: 68

arvchahal/FinancialOptionsPricer

Repo with implementation of options pricing simulators

Language: C++ - Size: 10.7 KB - Last synced: 9 days ago - Pushed: 10 days ago - Stars: 0 - Forks: 0

denniscmcom/python-black-scholes

A command line utility to calculate the theoretical call and put price of an European option using the black-scholes method

Language: Python - Size: 21.5 KB - Last synced: 10 days ago - Pushed: 5 months ago - Stars: 0 - Forks: 0

samykalisch/Financial-Math

Financial Math

Size: 3.66 MB - Last synced: 13 days ago - Pushed: 14 days ago - Stars: 0 - Forks: 0

rcalxrc08/FinancialToolbox.jl

Useful functions for Black–Scholes Model in the Julia Language

Language: Julia - Size: 2.11 MB - Last synced: 21 days ago - Pushed: 21 days ago - Stars: 45 - Forks: 10

aethrvmn/Black-Scholes-Model

Simple Black-Scholes algorithm. This project was for the course CS with Python (M.Sc Stochastics and Data Science UniTo)

Language: Jupyter Notebook - Size: 1.83 MB - Last synced: 22 days ago - Pushed: about 2 years ago - Stars: 1 - Forks: 0

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 repository mirrors https://gitlab.com/NMOF/NMOF .

Language: R - Size: 3.92 MB - Last synced: 22 days ago - Pushed: 23 days ago - Stars: 35 - Forks: 6

rgaveiga/optionlab

A Python library for evaluating option trading strategies.

Language: Python - Size: 551 KB - Last synced: about 1 month ago - Pushed: about 1 month ago - Stars: 161 - Forks: 31

HoldenCole/Options-Pricing

Compilation of select advanced options pricing models i.e. Black-Scholes, Monte-Carlo, Binomial

Language: Python - Size: 104 KB - Last synced: about 1 month ago - Pushed: about 1 month ago - Stars: 0 - Forks: 0

jkirkby3/fypy

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 financial models to market data.

Language: Python - Size: 323 KB - Last synced: about 1 month ago - Pushed: about 1 month ago - Stars: 62 - Forks: 21

ps1899/Options-Pricing-Simulations

Python/Streamlit web app for European option pricing using Black-Scholes model, Monte Carlo simulation and Binomial model. Spot prices for the underlying are fetched from Yahoo Finance API.

Language: Python - Size: 4.65 MB - Last synced: about 1 month ago - Pushed: about 1 month ago - Stars: 1 - Forks: 0

maurodelazeri/black-scholes

Model of price variation over time of financial instruments such as stocks that can, among other things, be used to determine the price of a European call option

Language: Go - Size: 1.95 KB - Last synced: about 1 month ago - Pushed: over 5 years ago - Stars: 4 - Forks: 2

HapticFinance/binaries-pricing-model

Pricing of binary options using Black-Scholes formulas

Language: Solidity - Size: 336 KB - Last synced: about 1 month ago - Pushed: about 1 year ago - Stars: 0 - Forks: 0

caramel2001/Warrant-Hedging

Pricing and hedging of HKEX warrants in Python using Black Scholes, Implied Volatility and Delta Hedging. It is connected to HKEX and BOCI data source.

Language: Python - Size: 2.93 KB - Last synced: about 1 month ago - Pushed: about 1 month ago - Stars: 0 - Forks: 0

longtuge-w/Delta-Hedge-Method-for-Options

Language: C++ - Size: 3.24 MB - Last synced: about 2 months ago - Pushed: about 2 months ago - Stars: 1 - Forks: 0

lyndskg/black-scholes-cpp

A UI-friendly program calculating Black-Scholes options pricing with advanced algorithms incorporating option Greeks, IV, Heston model, etc. Reads input from users, files, databases, and real-time, external market feeds (e.g. APIs).

Language: C++ - Size: 3.73 MB - Last synced: about 1 month ago - Pushed: about 1 month ago - Stars: 9 - Forks: 3

orlovt/OptionsPricingCPP

High-performance C++ implementation of critical option pricing models: Black-Scholes, Binomial, Finite Difference, and Monte Carlo.

Language: C++ - Size: 64.5 KB - Last synced: about 2 months ago - Pushed: about 2 months ago - Stars: 0 - Forks: 0

mcdallas/wallstreet

Real time stock and option data.

Language: Python - Size: 140 KB - Last synced: about 2 months ago - Pushed: 3 months ago - Stars: 1,197 - Forks: 191

kyosenergy/options-calculator

A collection of methods to calculate option prices, greeks & implied volatilities.

Language: PHP - Size: 95.7 KB - Last synced: 19 days ago - Pushed: 4 months ago - Stars: 3 - Forks: 1

marek-bauer/Option-pricer

Simple app to valuate price of financial instruments

Language: F# - Size: 35.2 KB - Last synced: 3 months ago - Pushed: 3 months ago - Stars: 0 - Forks: 0

yuvalofek/Financial-Signal-Processing

Financial engineering from a signal processing perspective

Language: Jupyter Notebook - Size: 877 KB - Last synced: about 1 month ago - Pushed: over 1 year ago - Stars: 6 - Forks: 1

wayne-turner/bsre_options

Tool incorporating stochastic interest rates and prop value volatility to aid in lease option valuation.

Language: Python - Size: 897 KB - Last synced: 3 months ago - Pushed: 3 months ago - Stars: 0 - Forks: 0

guccipepito/Stock-Options-Analysis-Tool

This Python script provides a comprehensive analysis of stock options using data retrieved from Yahoo Finance. It calculates various metrics such as implied volatility, historical volatility, intrinsic value, and time value for stock options. The analysis is based on the Black-Scholes option pricing model and historical stock price data.

Language: Python - Size: 32.2 KB - Last synced: 3 months ago - Pushed: 3 months ago - Stars: 0 - Forks: 0

gituliar/tastyhedge

Accompanying C++ code for the TastyHedge blog

Language: C++ - Size: 5.66 MB - Last synced: about 1 month ago - Pushed: 3 months ago - Stars: 1 - Forks: 1

adelevski/OptionPricingEngine

Option pricing engine

Language: C++ - Size: 111 KB - Last synced: 3 months ago - Pushed: over 2 years ago - Stars: 0 - Forks: 2

Michalos88/Quant-Projects

Implementations of Leading Algorithms in Quantitative Finance

Language: Python - Size: 407 KB - Last synced: 2 months ago - Pushed: almost 7 years ago - Stars: 34 - Forks: 17

rob-blackbourn/jetblack-options

Reference implementations of option pricing formulae in Python

Language: Python - Size: 3.26 MB - Last synced: about 1 month ago - Pushed: 5 months ago - Stars: 3 - Forks: 0

dreamchef/Black-Scholes-options-pricing

Tests the Black-Scholes model's performance on forecasting option call prices of a selected option chain dataset. Discusses factors such as volatility and time to expiration that affect the estimations of call option prices and how this occurs within the dynamics of the model.

Language: Python - Size: 5.24 MB - Last synced: 3 months ago - Pushed: 3 months ago - Stars: 2 - Forks: 0

AnthonyBradford/optionmatrix

Financial Derivatives Calculator with 168+ Models (Options Calculator)

Language: C++ - Size: 90.9 MB - Last synced: 3 months ago - Pushed: 3 months ago - Stars: 172 - Forks: 47

jknaudt21/Option-Scraper-BlackScholes

Repo for scraping option data required for the Black Scholes model. Data is scraped from S&P500 companies

Language: Jupyter Notebook - Size: 70.3 KB - Last synced: 3 months ago - Pushed: almost 2 years ago - Stars: 18 - Forks: 7

KaroliShp/fast-option-pricer

Portable SIMD-based C++ option pricing library

Language: C++ - Size: 60.5 KB - Last synced: 3 months ago - Pushed: 3 months ago - Stars: 0 - Forks: 0

danielxu04/DerivaPrice

A theoretical derivative pricing calculator using pricing models such as Black-Scholes, Binomial, and Monte Carlo simulations, implemented with Python and SciPy.

Language: Jupyter Notebook - Size: 365 KB - Last synced: 4 months ago - Pushed: 9 months ago - Stars: 1 - Forks: 0

BardsWork/black-sholes-with-google-sheets

Black-Scholes derivatives pricing model implementation in Google Sheets.

Language: JavaScript - Size: 316 KB - Last synced: 5 months ago - Pushed: 5 months ago - Stars: 0 - Forks: 0

Anthony-Antona/Options-Pricing

The repository contains various models for pricing options, including the popular Black-Scholes model, as well as more advanced models that take into account stochastic volatility, jumps and other factors.

Language: Jupyter Notebook - Size: 20.5 KB - Last synced: 5 months ago - Pushed: about 1 year ago - Stars: 0 - Forks: 0

py310/trading-information

Trading Information is a repository for collecting and organizing various trading information, including futures specifications and other relevant data.

Language: Jupyter Notebook - Size: 33.2 KB - Last synced: 3 months ago - Pushed: 3 months ago - Stars: 1 - Forks: 0

ahabegger/Option-Contract-Webpage

A Black-Scholes Model implemented in Python for option pricing. It includes a range of helper functions for calculating option Greeks and implied volatility, and features basic MySQL database interaction for uploading option data.

Language: Python - Size: 26.4 KB - Last synced: 5 months ago - Pushed: 5 months ago - Stars: 0 - Forks: 0

thorpn/MonteCarlo

Monte Carlo used for the seminar Monte Carlo Methods in Econometrics and Finance at the university of Copenhagen

Language: MATLAB - Size: 85 KB - Last synced: 4 months ago - Pushed: about 1 year ago - Stars: 1 - Forks: 2

RajdeepKonwar/stockast

Predict stock market pricing over 180 minutes using Black-Scholes stochastic modeling and parallel Monte-Carlo simulations.

Language: C++ - Size: 112 KB - Last synced: 3 months ago - Pushed: over 1 year ago - Stars: 39 - Forks: 22

primitivefinance/rmm-math

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

Language: TypeScript - Size: 735 KB - Last synced: 14 days ago - Pushed: over 1 year ago - Stars: 20 - Forks: 2

sidmohan0/quant-train

Python Repository to ingest, feature engineer, train, backtest, and run a random forest model to predict the direction of the S&P500 at the start of the next day's trading session.

Language: Python - Size: 452 KB - Last synced: 7 months ago - Pushed: 7 months ago - Stars: 1 - Forks: 0

YuChenAmberLu/Options-Calculator

Option Calculator using Black-Scholes model and Binomial model

Language: Jupyter Notebook - Size: 2.65 MB - Last synced: 7 months ago - Pushed: over 4 years ago - Stars: 134 - Forks: 62

jkirkby3/PROJ_Option_Pricing_Matlab

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

Language: MATLAB - Size: 355 KB - Last synced: 7 months ago - Pushed: 11 months ago - Stars: 125 - Forks: 53

SciML/DiffEqFinancial.jl

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

Language: Julia - Size: 344 KB - Last synced: about 1 month ago - Pushed: about 2 months ago - Stars: 23 - Forks: 16

Nikhilkohli1/Quantitative-Finance-Options-Pricing

Implementation of Black Scholes & State Price Density for Option Pricing in Python

Language: Jupyter Notebook - Size: 833 KB - Last synced: 7 months ago - Pushed: almost 4 years ago - Stars: 5 - Forks: 4

AmineMahdioui/Option-Pricing-Interface

Option Pricing Web App: Calculate European/American options using Black-Scholes, Binomial, and Trinomial models. Convergence Comparsion.

Language: Python - Size: 861 KB - Last synced: 7 months ago - Pushed: 7 months ago - Stars: 0 - Forks: 0

romaincaraes/option-valuation-python

An option valuation webapp in Python

Language: Python - Size: 679 KB - Last synced: 23 days ago - Pushed: 5 months ago - Stars: 0 - Forks: 1

PyFE/FE-R

Financial Engineering in R

Language: R - Size: 89.8 KB - Last synced: 6 months ago - Pushed: about 3 years ago - Stars: 13 - Forks: 4

krivi95/option-pricing-models

Simple python/streamlit web app for European option pricing using Black-Scholes model, Monte Carlo simulation and Binomial model. Spot prices for the underlying are fetched from Yahoo Finance API.

Language: Python - Size: 3.56 MB - Last synced: 7 months ago - Pushed: over 1 year ago - Stars: 52 - Forks: 22

ramonVDAKKER/teaching-quantitative-finance

Auxiliary material course Quantitative Finance (Tilburg University)

Language: TeX - Size: 8.83 MB - Last synced: about 1 year ago - Pushed: over 1 year ago - Stars: 2 - Forks: 0

aurelien-renault/options_pricing

School project : implementation of several pricing methods for American / European / Asian options.

Language: C++ - Size: 39.1 KB - Last synced: 8 months ago - Pushed: over 2 years ago - Stars: 0 - Forks: 0

volkziem/PhysicsAndFinance

Matlab live scripts for the book "Physics and Finance" published by Springer in 2021

Language: HTML - Size: 5.77 MB - Last synced: 4 months ago - Pushed: 6 months ago - Stars: 0 - Forks: 0

ThoranTschoepe/FinancialMathmaticsNotebooks

Financial Mathmatics Concepts with theory & visualizations

Language: Jupyter Notebook - Size: 4.38 MB - Last synced: 4 months ago - Pushed: 8 months ago - Stars: 1 - Forks: 0

TFSM00/Black-Scholes-Calculator

Calculation and Visualization of Option Price and Greeks on European Options using the Black-Scholes Option Pricing Model

Language: Python - Size: 146 KB - Last synced: 8 months ago - Pushed: 8 months ago - Stars: 12 - Forks: 1

KMeirazhdinov/Quantitative-Finance-project

Python code for option pricing, greek calculation (Delta), self financing delta hedging.

Language: Jupyter Notebook - Size: 94.7 KB - Last synced: 9 months ago - Pushed: about 2 years ago - Stars: 0 - Forks: 0

maciej-lewicki/Option-Pricer

(In progress) The simple option pricer written in Python. The structure and development path is inspired by the book "Numerical Methods in Finance with C++" , M.Capiński & T. Zastawniak. This will be a base to start playing with automatic differentation.

Language: Python - Size: 17.6 KB - Last synced: 9 months ago - Pushed: over 1 year ago - Stars: 1 - Forks: 0

tmfreiberg/black-scholes-option-pricer

A dashboard for plots, heatmaps etc., related to option prices, per the Black-Scholes model.

Language: Python - Size: 536 KB - Last synced: 9 months ago - Pushed: 9 months ago - Stars: 1 - Forks: 0

raymondctw/Option-Pricing-Model

Language: Python - Size: 418 KB - Last synced: 9 months ago - Pushed: 9 months ago - Stars: 0 - Forks: 0

raymondctw/Options-Pricing-Model

Options pricing tools

Language: Python - Size: 5.86 KB - Last synced: 9 months ago - Pushed: 9 months ago - Stars: 0 - Forks: 0

CaoBittencourt/Derivatives

Projeto de precificação de listas de opções através dos modelos Black-Scholes e Binomial.

Language: R - Size: 19.5 KB - Last synced: 9 months ago - Pushed: over 2 years ago - Stars: 0 - Forks: 0

vantessel/black-scholes-bonanza

A library to deal with options and option strategies

Language: TypeScript - Size: 58.6 KB - Last synced: 5 months ago - Pushed: over 1 year ago - Stars: 6 - Forks: 1

shengbojia/Black-Scholes-Merton

📈 Desktop application for calculating fair pricing and Greeks of vanilla European options

Language: Java - Size: 123 KB - Last synced: 10 months ago - Pushed: about 5 years ago - Stars: 0 - Forks: 0

HNash/OpenAssetPricer

Open source financial analysis software for valuation of various securities and derivatives.

Language: C# - Size: 1.07 MB - Last synced: 10 months ago - Pushed: 10 months ago - Stars: 0 - Forks: 0

bradleyboyuyang/Statistical-Arbitrage

High-frequency statistical arbitrage

Language: Jupyter Notebook - Size: 84.4 MB - Last synced: 10 months ago - Pushed: 10 months ago - Stars: 32 - Forks: 7

bhroben/Assignments-Stochastic-methods-for-finance

These reports were developed for the course Stochastic methods for finance

Size: 0 Bytes - Last synced: 10 months ago - Pushed: 10 months ago - Stars: 0 - Forks: 0

n-alex-goncalves/Options-Pricing-Calculator

A short C++ calculator for pricing European call options using the Black-Scholes model.

Language: C++ - Size: 3.91 KB - Last synced: 10 months ago - Pushed: 10 months ago - Stars: 0 - Forks: 0

esemoney/application

Language: Jupyter Notebook - Size: 10.8 MB - Last synced: 10 months ago - Pushed: over 3 years ago - Stars: 1 - Forks: 0

ChiragJhawar/ProjectReward

A software to shortlist and find the best options spread available for a given stock and help it visualise using payoff graphs.

Language: Python - Size: 22.6 MB - Last synced: 10 months ago - Pushed: 10 months ago - Stars: 73 - Forks: 18

ayushgun/options-pricer

A full-stack application for pricing options using the Black–Scholes and binomial pricing models.

Language: TypeScript - Size: 7.87 MB - Last synced: 12 months ago - Pushed: 12 months ago - Stars: 0 - Forks: 1

lcsrodriguez/CuttingEdge-Milliman

Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)

Language: Jupyter Notebook - Size: 22.6 MB - Last synced: 9 months ago - Pushed: 10 months ago - Stars: 2 - Forks: 0

Mephistopheles-0/Deep-Learning-Solutions-for-Partial-Differential-Equations

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

Language: Python - Size: 57.6 KB - Last synced: about 1 year ago - Pushed: about 1 year ago - Stars: 1 - Forks: 0

dylanhood/FinancialDerivatives

Some Overview Of Financial Derivatives

Language: Python - Size: 10.7 KB - Last synced: 11 months ago - Pushed: over 1 year ago - Stars: 0 - Forks: 0

aidinattar/Volatility-carry-trading-strategy

Modelling the implicit volatility, using multi-factor statistical models.

Language: HTML - Size: 98.1 MB - Last synced: about 1 year ago - Pushed: about 1 year ago - Stars: 4 - Forks: 3

SantiagoMorenoV/Black_Scholes_Apple_Stock_Option_Price

This project implements a script to calculate an option price using the Black-Scholes model.

Language: Jupyter Notebook - Size: 1.25 MB - Last synced: about 1 year ago - Pushed: about 1 year ago - Stars: 0 - Forks: 0

zack-humphries/2D-Black-Scholes-Model-With-Finite-Differences-Project

Final Project for COMP 521 (Computational Science) at San Diego State University, Fall 2022 using MATLAB

Language: TeX - Size: 1.66 MB - Last synced: about 1 year ago - Pushed: about 1 year ago - Stars: 0 - Forks: 0

wbyates777/OptionPriceDemo

An option pricing demo. Three option pricing models with their greeks.

Language: C++ - Size: 152 KB - Last synced: about 1 year ago - Pushed: over 8 years ago - Stars: 1 - Forks: 0

caymanbrothers/stockshare-sdk 📦

PHP SDK developed by @caymanbrothers, @gloomberry and @stefankuehnel for the analysis and valuation of equity derivative options.

Language: PHP - Size: 17.6 KB - Last synced: 9 months ago - Pushed: about 3 years ago - Stars: 1 - Forks: 0

vincent27hugh/FEM_Heston_Model

We apply Finite Element Method (FEM) for option pricing problem under Heston's Model.

Language: MATLAB - Size: 5.52 MB - Last synced: 9 months ago - Pushed: over 5 years ago - Stars: 6 - Forks: 1

erkandem/calcbsimpvol

Calculate Black Scholes Implied Volatility - Vectorwise

Language: Python - Size: 6.85 MB - Last synced: 23 days ago - Pushed: over 3 years ago - Stars: 15 - Forks: 5

ashish1497/black-scholes

Complete plug and play Black-Scholes-Merton model for option pricing with features including implied volatility and Greeks.

Language: TypeScript - Size: 317 KB - Last synced: 24 days ago - Pushed: about 2 years ago - Stars: 10 - Forks: 2

uscott/go-blackscholes

Go implementation of the basic Black Scholes formulas for European option prices, greeks and implied volatility

Language: Go - Size: 43 KB - Last synced: 9 months ago - Pushed: about 3 years ago - Stars: 2 - Forks: 2

enesozi/Option-Pricing-Stochastic-Volatility

Language: Jupyter Notebook - Size: 1.85 MB - Last synced: 2 months ago - Pushed: about 6 years ago - Stars: 8 - Forks: 6

wrcarpenter/Equity-Derivative-Models

Numerical methods for option pricing with lattices, Monte Carlo, Black-Scholes, etc.

Language: Jupyter Notebook - Size: 3.69 MB - Last synced: 2 months ago - Pushed: 2 months ago - Stars: 1 - Forks: 0

advait/rainbow-options

Visualize options portfolios like rainbows

Language: TypeScript - Size: 6.41 MB - Last synced: 11 days ago - Pushed: over 1 year ago - Stars: 12 - Forks: 1

medvedev-gs/Fin_math

В этом репозитории собраны примеры базовых финансовых расчетов.

Language: Jupyter Notebook - Size: 2.7 MB - Last synced: about 1 year ago - Pushed: about 1 year ago - Stars: 1 - Forks: 0

Vicarisi-Ventures/VolArbitrage

High Performance Cross Platform Volatility Arbitrage Infrastructure and Recommendation Engine Developed in Go.

Language: Go - Size: 21 MB - Last synced: about 1 year ago - Pushed: over 1 year ago - Stars: 19 - Forks: 6

royceda/Math-finance

Scilab

Language: Scilab - Size: 2.58 MB - Last synced: about 1 year ago - Pushed: over 8 years ago - Stars: 0 - Forks: 0

lironbm7/THETAcademy

Educational and practical tool for estimates of Option Pricing and calculations of Greeks using the Black-Scholes Mathematical Model.

Language: JavaScript - Size: 1 MB - Last synced: about 1 year ago - Pushed: about 1 year ago - Stars: 0 - Forks: 0

yzoz/python-option-calculator

Vanilla option pricing and visualisation using Black-Scholes model in pure Python

Language: Python - Size: 5.86 KB - Last synced: over 1 year ago - Pushed: over 1 year ago - Stars: 74 - Forks: 33

olof98johansson/FinancialOptionsModelling

Modelling and analysing the Asian call/put options compared to the standard European option as well as comparing two different modelling methods

Language: Python - Size: 372 KB - Last synced: about 1 year ago - Pushed: almost 3 years ago - Stars: 3 - Forks: 1

ApurvShah007/Algorithmic-Trading

I have been deeply interested in algorithmic trading and systematic trading algorithms. This Repository contains the code of what I have learnt on the way. It starts form some basic simple statistics and will lead up to complex machine learning algorithms.

Language: Jupyter Notebook - Size: 2.51 MB - Last synced: about 1 year ago - Pushed: almost 4 years ago - Stars: 58 - Forks: 5