ArturSepp/VanillaOptionPricers

Fast and vectorised pricer and implied volatility fitters for Black-Scholes and Merton models

Language: Python - Size: 27.3 KB - Last synced at: 12 days ago - Pushed at: 12 days ago - Stars: 5 - Forks: 3

ranjanrak/optionchainstream

Live streaming option chain for equity derivatives using Kite connect Websocket based on redis.

Language: Python - Size: 40 KB - Last synced at: 16 days ago - Pushed at: almost 2 years ago - Stars: 149 - Forks: 69

ted-love/py_vol_surface

A package that utilises QT and OpenGL graphics to visualise realtime 3D volatility surfaces and analytics.

Language: Python - Size: 1.08 MB - Last synced at: 24 days ago - Pushed at: 24 days ago - Stars: 2 - Forks: 0

tyrneh/options-implied-probability

Generate probability distributions for the future price of publicly traded securities using options data.

Language: Jupyter Notebook - Size: 15 MB - Last synced at: 20 days ago - Pushed at: about 2 months ago - Stars: 131 - Forks: 26

enricoschumann/NMOF

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: 4.04 MB - Last synced at: 18 days ago - Pushed at: 25 days ago - Stars: 37 - Forks: 6

manuelmusngi/derivatives-modeling

financial derivatives

Language: C++ - Size: 307 KB - Last synced at: about 1 month ago - Pushed at: about 1 month ago - Stars: 4 - Forks: 2

ahudde/greeks

Sensitivities of Prices of Financial Options and Implied Volatilites

Language: R - Size: 23.6 MB - Last synced at: 1 day ago - Pushed at: about 1 month ago - Stars: 7 - Forks: 3

marcdemers/py_vollib_vectorized

A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.

Language: Python - Size: 281 KB - Last synced at: 9 days ago - Pushed at: 5 months ago - Stars: 130 - Forks: 33

fanzhenya/options_lab

Tools for stock options trading: finding best cash covered put and covered call to see, find best call to buy, etc. Keywords: Implied Volatility, Stock Options, Annualized Rate of Return

Language: Jupyter Notebook - Size: 544 KB - Last synced at: about 1 month ago - Pushed at: about 1 month ago - Stars: 40 - Forks: 12

sm-sokout/tse-option

بررسی و دریافت اطلاعات اختیار معاملات بورس تهران و فرابورس ایران | Options on the Tehran Stock Exchange (TSE) and IranFarabourse (IFB)

Language: Jupyter Notebook - Size: 850 KB - Last synced at: 28 days ago - Pushed at: 3 months ago - Stars: 17 - Forks: 3

hedge0/VolSplinesLib

VolSplinesLib is a Python library for interpolating implied volatility surfaces using various volatility models. The library provides tools for fitting and interpolating models to market data, supporting popular methods like RFV, SLV, SABR, and SVI.

Language: Python - Size: 17.6 KB - Last synced at: 16 days ago - Pushed at: 6 months ago - Stars: 1 - Forks: 0

TechfaneTechnologies/risk_free_interest_rate

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

Language: Python - Size: 154 KB - Last synced at: 21 days ago - Pushed at: 3 months ago - Stars: 23 - Forks: 9

Quant-TradingCO/Volatility-and-options

In this repo you will find some tools related to pricing and risk measurement of options. You can find tools to calculate the price of an option like de Black-Scholes or Heston Model, or to get implied volatilities.

Language: Jupyter Notebook - Size: 213 KB - Last synced at: 3 months ago - Pushed at: 3 months ago - Stars: 5 - Forks: 1

hedge0/OptionsPricerLib

OptionsPricerLib is a Python library for pricing financial options using various european and american models. The library provides options pricing, implied volatility calculation, and the Greeks for options, covering models such as Barone-Adesi Whaley, Black-Scholes, Leisen-Reimer, Jarrow-Rudd, and Cox-Ross-Rubinstein.

Language: Python - Size: 59.6 KB - Last synced at: 17 days ago - Pushed at: 6 months ago - Stars: 3 - Forks: 0

George-Dros/Volatility_Surface

A Python project that visualizes a 3D implied volatility surface for options on any ticker symbol. Configurable inputs include risk-free rate, dividend yield, and strike price range. Ideal for analyzing how volatility varies with time to expiry, moneyness, and strike price.

Language: Python - Size: 4.42 MB - Last synced at: 5 months ago - Pushed at: 5 months ago - Stars: 0 - Forks: 0

numericalalgorithmsgroup/NAGJavaExamples

Examples demonstrating the nAG Library for Java

Language: Java - Size: 5.63 MB - Last synced at: 5 months ago - Pushed at: 5 months ago - Stars: 5 - Forks: 3

Robin-Guilliou/Option-Pricing

Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).

Language: Jupyter Notebook - Size: 1.51 MB - Last synced at: 6 months ago - Pushed at: over 3 years ago - Stars: 71 - Forks: 16

coasensi/options-volatility-surface

Python webapp visualizing the IV curve of any call/put available on yfinance api

Language: Python - Size: 51.8 KB - Last synced at: about 1 month ago - Pushed at: 7 months ago - Stars: 0 - Forks: 1

gauss314/back-scholes-model

Black Scholes and Merton option, greeks and implied volatility calc for PHP Laravel or Symfony package

Language: PHP - Size: 23.4 KB - Last synced at: 3 days ago - Pushed at: about 3 years ago - Stars: 9 - Forks: 4

beshjp/jax-options

Options pricing with JAX.

Language: Python - Size: 116 KB - Last synced at: 11 months ago - Pushed at: about 1 year ago - Stars: 0 - Forks: 0

bradleyboyuyang/Optimal-Hedging

Optimal delta hedging with SABR model

Language: Jupyter Notebook - Size: 11.3 MB - Last synced at: 11 months ago - Pushed at: 11 months ago - Stars: 1 - Forks: 0

samykalisch/Financial-Math

Financial Math

Size: 3.66 MB - Last synced at: 12 months ago - Pushed at: 12 months ago - Stars: 0 - Forks: 0

ryanmccrickerd/rough_bergomi

A Python implementation of the rough Bergomi model.

Language: Jupyter Notebook - Size: 5.07 MB - Last synced at: about 1 year ago - Pushed at: over 6 years ago - Stars: 99 - Forks: 42

ektoravlonitis/Implied-Volatility-Prediction

Use of LSTM to predict the implied volatility skew in financial markets

Language: Python - Size: 603 KB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 0 - Forks: 0

han-xiao-psu/Implied-volatility-spread

Data and program associated with "Predicting equity premium with implied volatility spreads" by Cao, Simin, and Xiao, Journal of Financial Markets, 2020

Language: SAS - Size: 364 KB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 3 - Forks: 1

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 at: about 1 year ago - Pushed at: about 1 year ago - Stars: 9 - Forks: 3

jjfantini/openbb-orats

🦋An OpenBB Platform Extension to connect to ORATS 🦋

Language: Python - Size: 117 KB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 0 - Forks: 0

ashayp22/volatility-surface-explorer

Interactive Implied Volatility Surface Explorer

Language: JavaScript - Size: 1.87 MB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 0 - Forks: 0

RahulAtre/News-Sentiment-and-IV

This project examines the relationship between news sentiment and implied volatility and determines whether there is a significant correlation between the two

Language: Jupyter Notebook - Size: 75.6 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 0 - Forks: 0

caramel2001/Financial-Derivative-Analysis-and-Simulation

Pricing and Analysis of Financial Derivative by Credit Suisse using Monte Carlo, Heston Model, CIR model, estimating greeks such as delta, gamma etc, Local volatility model incorporated with variance reduction.(For MH4518 Project)

Language: Jupyter Notebook - Size: 18.3 MB - Last synced at: about 1 year ago - Pushed at: over 1 year ago - Stars: 17 - Forks: 3

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 at: about 1 year ago - Pushed at: about 1 year ago - Stars: 1 - Forks: 0

boyla950/predicting-the-pound

MSc Finance dissertation project at Newcastle University. This project focused on forecasting the volatility of exchange rates involving the Great British Pound using EWMA, GARCH-type and Implied Volatility models.

Language: Python - Size: 2.16 MB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 3 - Forks: 0

yulu0131/VolaDocs

Volatility Model Documentation

Size: 11.1 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 0 - Forks: 0

YuChenAmberLu/Options-Calculator

Option Calculator using Black-Scholes model and Binomial model

Language: Jupyter Notebook - Size: 2.65 MB - Last synced at: over 1 year ago - Pushed at: over 5 years ago - Stars: 134 - Forks: 62

hyobyun/VolSurface

3D Volatility surface visualization in the browser

Language: JavaScript - Size: 4.43 MB - Last synced at: over 1 year ago - Pushed at: about 6 years ago - Stars: 22 - Forks: 4

cmhein/implvol

Implied volatility of options

Language: C++ - Size: 43 KB - Last synced at: over 1 year ago - Pushed at: over 4 years ago - Stars: 9 - Forks: 3

anthonyli01/Neural-Network-Approach-to-Implied-Volatility-Forecasting

Implied volatility is a key aspect when it comes to derivatives pricing. With the growing influence of machine learning in finance, I have investigated the use of LSTMs to forecast 1-day forward Implied Volatility.

Language: Jupyter Notebook - Size: 1.35 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 0 - Forks: 1

raymondctw/Options-Pricing-Model

Options pricing tools

Language: Python - Size: 5.86 KB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 0 - Forks: 0

cloudy-sfu/Newton-Raphson-implied-volatility

Computing implied volatility by Newton-Raphson method

Language: Python - Size: 1.19 MB - Last synced at: 12 months ago - Pushed at: about 1 year ago - Stars: 1 - Forks: 0

metahris/pypws

Python client for your pricing web service

Language: Python - Size: 21.5 KB - Last synced at: almost 2 years ago - Pushed at: almost 2 years ago - Stars: 1 - Forks: 0

metahris/PricingWarehouse

C# pricer that allows users to price a wide range of financial products.

Language: C# - Size: 78.1 KB - Last synced at: almost 2 years ago - Pushed at: about 2 years ago - Stars: 1 - Forks: 0

erkandem/calcbsimpvol

Calculate Black Scholes Implied Volatility - Vectorwise

Language: Python - Size: 6.85 MB - Last synced at: 9 months ago - Pushed at: about 4 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 at: 3 days ago - Pushed at: almost 3 years ago - Stars: 10 - Forks: 2

medvedev-gs/Fin_math

В этом репозитории собраны примеры базовых финансовых расчетов.

Language: Jupyter Notebook - Size: 2.7 MB - Last synced at: about 2 years ago - Pushed at: about 2 years ago - Stars: 1 - 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 at: about 2 years ago - Pushed at: over 2 years ago - Stars: 74 - Forks: 33

bragi-capital/implied-volatility-calculator

The Implied Volatility Calculator is an educational tool. It is not intended to provide investment advice. Users of the Implied Volatility Calculator should not make investment decisions based upon values generated by it.

Size: 1000 Bytes - Last synced at: about 2 years ago - Pushed at: about 2 years ago - Stars: 0 - Forks: 0

hjstobart/quant-finance-series

A collection of my own Quantitative Finance guides covering various topics.

Language: TeX - Size: 1.82 MB - Last synced at: about 2 years ago - Pushed at: over 2 years ago - Stars: 1 - Forks: 2

quantumsnowball/AppleDaily20200615

Language: Python - Size: 714 KB - Last synced at: about 2 years ago - Pushed at: almost 5 years ago - Stars: 2 - Forks: 0

raj-rao-rr/Variance-Risk-Premia

Replication of "Variance Risk Premia in the Interest Rate Swap market" paper (2016) by Desi Volker PhD

Language: MATLAB - Size: 94.7 MB - Last synced at: 4 months ago - Pushed at: over 3 years ago - Stars: 2 - Forks: 2

pmontalb/MobileBinomialTreePricer

Binomial Tree Pricer

Language: Java - Size: 469 KB - Last synced at: about 2 years ago - Pushed at: about 7 years ago - Stars: 2 - Forks: 0

quantumsnowball/AppleDaily20200810

Language: Jupyter Notebook - Size: 700 KB - Last synced at: about 2 years ago - Pushed at: over 4 years ago - Stars: 6 - Forks: 1

sandershortway/BlackScholesHeston

Determine implied volatility according to Black-Scholes dynamics.

Language: Python - Size: 55.7 KB - Last synced at: about 2 years ago - Pushed at: almost 4 years ago - Stars: 5 - Forks: 2