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GitHub topics: jump-diffusion-mertons-model

cantaro86/Financial-Models-Numerical-Methods

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

Language: Jupyter Notebook - Size: 23.3 MB - Last synced at: 11 days ago - Pushed at: 6 months ago - Stars: 5,818 - Forks: 1,048

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

arjundhatt13/jumpdiffusion

Conducting Monte Carlo simulation of stochastic models (GBM, Merton Jump Diffusion Model) for the forecasting of stock positions. Serves as a "prelude" to the heston repository.

Language: Python - Size: 6.84 KB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 0 - Forks: 0

briancsavage-shift/Option-Pricing-Model

Option Price Forecaster

Language: C - Size: 32.2 KB - Last synced at: about 2 years ago - Pushed at: over 3 years ago - Stars: 0 - Forks: 0

Related Keywords
jump-diffusion-mertons-model 4 option-pricing 3 quantitative-finance 2 heston-model 2 python 1 stochastic-differential-equations 1 stochastic-processes 1 barrier-option 1 binomial-model 1 black-scholes 1 finite-difference-schemes 1 fourier-transform 1 implied-volatility 1 monte-carlo 1 stochastic-modelling 1 geometric-brownian-motion 1 monte-carlo-simulation 1 partial-differential-equations 1 monte-carlo-methods 1 linear-systems-equations 1 linear-regression 1 levy-processes 1 kalman-filter 1 jupyter-notebooks 1 fourier-inversion 1 financial-mathematics 1 financial-engineering 1 econometrics 1 brownian-motion 1 american-options 1