GitHub topics: option-pricing

Repositories

SuryanshGarg12/OptionAnomalyDetection

A Python-based tool for detecting anomalies in option chain time-series data, including IV spikes, mispricings, price jumps, spread widenings, and gamma spikes. Outputs results to CSV files and generates diagnostic plots.

Language: Jupyter Notebook - Size: 0 Bytes - Last synced at: 1 day ago - Pushed at: 1 day ago - Stars: 0 - Forks: 0

rburkholder/trade-frame

C++ 17 based library (with sample applications) for testing equities, futures, currencies, etfs & options based automated trading ideas using DTN IQFeed real time data feed and Interactive Brokers (IB TWS API) for trade execution. Some support for Alpaca & Phemex. Notifications via Telegram

Language: C++ - Size: 24.9 MB - Last synced at: 1 day ago - Pushed at: 1 day ago - Stars: 547 - Forks: 171

paulbqnt/option-pricing-formulas

Python Implementation of "The Complete Guide to Option Pricing Formulas" by Espen Gaarder Haug, PhD

Language: Jupyter Notebook - Size: 41 KB - Last synced at: 1 day ago - Pushed at: 1 day ago - Stars: 0 - Forks: 0

avhz/RustQuant

Rust library for quantitative finance.

Language: Rust - Size: 50.3 MB - Last synced at: about 15 hours ago - Pushed at: 25 days ago - Stars: 1,389 - Forks: 154

patrick-t98/quantitative-finance-notebooks

A collection of educational notebooks covering key mathematical concepts and their applications in quantitative finance

Language: Jupyter Notebook - Size: 5.2 MB - Last synced at: 2 days ago - Pushed at: 2 days ago - Stars: 20 - Forks: 2

joaquinbejar/OptionStratLib

OptionStratLib is a comprehensive Rust library for options trading and strategy development across multiple asset classes.

Language: Rust - Size: 42.3 MB - Last synced at: 3 days ago - Pushed at: 3 days ago - Stars: 33 - Forks: 10

michaelchu/optopsy

A nimble options backtesting library for Python

Language: Python - Size: 8.87 MB - Last synced at: 2 days ago - Pushed at: 11 months ago - Stars: 1,115 - Forks: 175

MFaizan18/HedgeGPT

Experience the convergence of reinforcement learning and finance in this project, which implements a Q-learning agent for option pricing under the Black–Scholes model. Leveraging Monte Carlo simulation, B-spline basis functions, and a variance-based reward, the agent learns optimal hedging strategies to generate accurate, risk-neutral option price.

Language: Jupyter Notebook - Size: 628 KB - Last synced at: 4 days ago - Pushed at: 4 days ago - Stars: 1 - Forks: 0

HugzGJ9/Quantitative_Finance

Quantitative Finance Library & Option Trading Tool

Language: Python - Size: 43.5 MB - Last synced at: 4 days ago - Pushed at: 4 days ago - Stars: 4 - Forks: 1

just-krivi/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: 19.2 MB - Last synced at: 4 days ago - Pushed at: 4 months ago - Stars: 213 - Forks: 62

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: 7 days ago - Pushed at: 7 months ago - Stars: 6,024 - Forks: 1,098

carlobortolan/quantrs

A (very) fast Rust library for quantitative finance.

Language: Rust - Size: 4.77 MB - Last synced at: 10 days ago - Pushed at: 10 days ago - Stars: 4 - Forks: 2

MerkleBlue/defimath

DeFiMath is open-source, high-performance Solidity library for Ethereum smart contract development

Language: Solidity - Size: 4.28 MB - Last synced at: 10 days ago - Pushed at: 12 days ago - Stars: 1 - Forks: 0

romanmichaelpaolucci/Q-Fin

A Python library for mathematical finance

Language: Python - Size: 131 KB - Last synced at: 13 days ago - Pushed at: over 1 year ago - Stars: 469 - Forks: 61

quantsbin/Quantsbin

Quantitative Finance tools

Language: Python - Size: 156 KB - Last synced at: 13 days ago - Pushed at: almost 2 years ago - Stars: 545 - Forks: 77

laHermes/black_scholes

Black-Scholes-Merton European Options Pricing

Language: Jupyter Notebook - Size: 3.91 KB - Last synced at: 15 days ago - Pushed at: 15 days ago - Stars: 0 - Forks: 0

boyac/pyOptionPricing

Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied volatility, Greeks hedging

Language: Python - Size: 779 KB - Last synced at: 5 days ago - Pushed at: 3 months ago - Stars: 302 - Forks: 31

DavideDevetak24/Black_Scholes_Volatility_Surfaces

Implied volatility surfaces from SPX option chains data (both calls and puts), interpolation for continuous querying, and GUI to visualize surfaces and calculate Black-Scholes prices and IVs

Language: Python - Size: 379 KB - Last synced at: 24 days ago - Pushed at: 24 days ago - Stars: 0 - Forks: 0

T-Kalv/Black-Scholes-Model

Implementation of the Black-Scholes Model for Europen option call/put pricing with features including calulating option prices based on mark parameters, estimating implied volatility and visualising option prices against different factors...

Language: Python - Size: 9.77 KB - Last synced at: 24 days ago - Pushed at: 24 days ago - Stars: 1 - Forks: 0

paulbqnt/hiram-app

Derivatives Pricing App

Language: TypeScript - Size: 206 KB - Last synced at: 4 days ago - Pushed at: 4 months ago - Stars: 0 - Forks: 0

aidinattar/Financial-Mathematics

Weekly exercises of the course of Stochastic Methods for Finance.

Language: Julia - Size: 19.7 MB - Last synced at: 28 days ago - Pushed at: 28 days ago - Stars: 8 - Forks: 1

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: 21 days ago - Pushed at: 4 months ago - Stars: 19 - Forks: 3

JesusAlMM/PnLVisualize

A dynamic Shiny app that leverages the Black-Scholes model to simulate option pricing and visualize Profit & Loss scenarios.

Language: R - Size: 22.5 KB - Last synced at: 30 days ago - Pushed at: 30 days ago - Stars: 0 - Forks: 0

sandyherho/optionmc

OptionMC is a Python package for pricing European options using Monte Carlo simulation, featuring variance reduction techniques and educational visualizations. Designed for both quantitative finance practitioners and students learning derivatives pricing.

Language: Python - Size: 34.2 KB - Last synced at: 30 days ago - Pushed at: 30 days ago - Stars: 0 - Forks: 0

oscarhoffmann3487/TPPE29_Financial_markets

This repository contains Matlab code for pricing European, American, and exotic options using a binomial tree framework. The project was completed as part of the TPPE29 course in Financial Markets and Instruments at Linköping University.

Language: MATLAB - Size: 10.7 KB - Last synced at: about 1 month ago - Pushed at: about 1 month ago - Stars: 0 - Forks: 0

Yixing-Shen/Monte_Carlo

Monte Carlo option pricing experiments under the Black-Scholes model using variance reduction techniques.

Language: Jupyter Notebook - Size: 418 KB - Last synced at: about 1 month ago - Pushed at: about 1 month ago - Stars: 0 - Forks: 0

chicago-joe/Option-Pricing-via-Levy-Models-in-R

using the Inverse-Transform method to speed up options pricing simulations in R

Language: R - Size: 28.2 MB - Last synced at: 5 days ago - Pushed at: over 5 years ago - Stars: 28 - Forks: 11

ArturSepp/StochVolModels

Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston

Language: Python - Size: 10.1 MB - Last synced at: about 1 month ago - Pushed at: about 1 month ago - Stars: 157 - Forks: 32

harshkhandelwal30/bsm-pnl-viewer

Black-Scholes-Model Calculation with PnL Heatmap

Language: Python - Size: 3.91 KB - Last synced at: about 1 month ago - Pushed at: about 1 month ago - Stars: 0 - Forks: 0

ronniec95/black_scholes

A SIMD based black scholes pricer using the http://crates.io/wide crate

Language: Rust - Size: 43 KB - Last synced at: 17 days ago - Pushed at: almost 2 years ago - Stars: 73 - Forks: 9

veydantkatyal/option-pricing-pinn

PINNs to solve the Black-Scholes PDE for pricing European options, extended to the Heston model, incorporating stochastic volatility for more realistic and industry-relevant option pricing

Language: Jupyter Notebook - Size: 552 KB - Last synced at: about 1 month ago - Pushed at: about 1 month ago - Stars: 0 - Forks: 0

MichaelCarloH/Option-Pricing

This repository contains various models and techniques for pricing financial options. The focus is on implementing the Black-Scholes model and some of its extensions (e.g. Heston) , visualizing implied volatility surfaces, and utilizing Monte Carlo simulations for exotic option pricing. PYPI pckg: https://pypi.org/project/tiny-pricing-utils/1.0.3/

Language: Jupyter Notebook - Size: 6.48 MB - Last synced at: about 1 month ago - Pushed at: 2 months ago - Stars: 4 - Forks: 0

PyFE/PyFENG

Python Financial ENGineering (PyFENG package in PyPI.org)

Language: Python - Size: 3.29 MB - Last synced at: 24 days ago - Pushed at: 6 months ago - Stars: 157 - Forks: 73

f-z/financial-modelling

Financial modelling, derivatives, investments

Language: Java - Size: 6.26 MB - Last synced at: 28 days ago - Pushed at: almost 6 years ago - Stars: 15 - Forks: 5

SarcasticMatrix/hestonpy

Calibration of Stochastic Volatility models on implied volatility smiles

Language: Jupyter Notebook - Size: 45.9 MB - Last synced at: about 2 months ago - Pushed at: about 2 months ago - Stars: 0 - Forks: 0

paulbqnt/hiram-pricing

Option Pricing Library in Python 3.10

Language: Python - Size: 156 KB - Last synced at: about 2 months ago - Pushed at: about 2 months ago - Stars: 0 - Forks: 0

quantmind/quantflow

Quantitative finance and derivative pricing

Language: Python - Size: 17.6 MB - Last synced at: 24 days ago - Pushed at: about 1 month ago - Stars: 13 - Forks: 1

tezzachris/GARCH

Estimation & Option pricing for GARCH2F model

Language: MATLAB - Size: 195 KB - Last synced at: about 2 months ago - Pushed at: about 2 months ago - Stars: 6 - Forks: 0

NMOF/NMOF

Functions, examples and data from the book "Numerical Methods and Optimization in Finance" by M. Gilli, D. Maringer and E. Schumann (2011), ISBN 978-0123756626.

Language: R - Size: 3.91 MB - Last synced at: about 2 months ago - Pushed at: about 2 months ago - Stars: 2 - Forks: 1

TechfaneTechnologies/QtsApp

The Python Library For QtsApp which displays the option chain in near real-time. This program retrieves this data from the QtsApp site and then generates useful analysis of the Option Chain for the specified Index or Stock. It also continuously refreshes the Option Chain along with Implied Volatatlity (IV), Open Interest (OI), Delta, Theta, Vega, Gamma, Vanna, Charm, Speed, Zomma, Color, Volga, Veta at an interval of a second and visually displays the trend in various indicators useful for Technical Analysis.

Language: Python - Size: 2.35 MB - Last synced at: about 2 months ago - Pushed at: over 2 years ago - Stars: 96 - Forks: 25

dbischof90/american_option_pricing_neural_nets

An american option pricer based on neural network regression.

Language: Python - Size: 105 KB - Last synced at: 4 days ago - Pushed at: about 4 years ago - Stars: 3 - Forks: 0

eddiek106/HHL_BlackScholes

This code was produced during the completion of a research master's thesis on the application of the HHL or quantum algorithm for linear systems of equations to quantitative pricing of multi-asset options.

Language: Jupyter Notebook - Size: 6.14 MB - Last synced at: 2 months ago - Pushed at: 2 months ago - Stars: 0 - Forks: 0

Beliavsky/R-Finance-Task-View-Supplement

R Finance packages not listed in the Empirical Finance Task View

Size: 191 KB - Last synced at: about 2 months ago - Pushed at: 2 months ago - Stars: 11 - 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 at: about 1 month ago - Pushed at: almost 5 years ago - Stars: 61 - Forks: 6

prabhupavitra/Financial-Modeling

Financial Models using vba script and Python

Language: Jupyter Notebook - Size: 4.37 MB - Last synced at: about 1 month ago - Pushed at: about 4 years ago - Stars: 25 - Forks: 7

donlelef/vanilla-option-pricing

Stochastic models to price financial options

Language: Python - Size: 85.9 KB - Last synced at: 9 days ago - Pushed at: over 4 years ago - Stars: 24 - Forks: 2

VivekPa/BinomialOptModel

A python program to implement the discrete binomial option pricing model

Language: Python - Size: 438 KB - Last synced at: about 1 month ago - Pushed at: about 3 years ago - Stars: 83 - Forks: 35

jerryxyx/MonteCarlo

A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM

Language: Jupyter Notebook - Size: 2.11 MB - Last synced at: about 2 months ago - Pushed at: about 6 years ago - Stars: 107 - Forks: 52

celinenguyentu/Deep_Neural_Network_for_Bermudan_Option_Pricing

An applied research project on Bermudan option pricing using FFNN.

Language: Jupyter Notebook - Size: 1.79 MB - Last synced at: 2 months ago - Pushed at: 2 months ago - Stars: 0 - Forks: 0

daleroberts/heston

Implementations of the Heston stochastic volatility model

Language: R - Size: 188 KB - Last synced at: about 1 month ago - Pushed at: about 10 years ago - Stars: 25 - Forks: 17

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: 503 KB - Last synced at: 3 months ago - Pushed at: 4 months ago - Stars: 90 - Forks: 22

boomelage/machine-learning-option-pricing

An empirical approach based on market data

Language: Jupyter Notebook - Size: 407 MB - Last synced at: 1 day ago - Pushed at: 5 months ago - Stars: 2 - Forks: 0

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: 381 KB - Last synced at: 3 months ago - Pushed at: 6 months ago - Stars: 179 - Forks: 67

GuidoGazzani-ai/jointcalib_sigsde

Code for "Joint calibration to SPX and VIX options with signature-based models"

Language: Python - Size: 1.15 MB - Last synced at: 4 months ago - Pushed at: 4 months ago - Stars: 4 - Forks: 1

GuidoGazzani-ai/sigsde_calibration

Code for "Signature-based models: theory and calibration"

Language: Jupyter Notebook - Size: 10.2 MB - Last synced at: 4 months ago - Pushed at: 4 months ago - Stars: 8 - Forks: 2

ucaiado/Replicating_Strategy

A dynamic strategy that replicates the payoff of a derivative described as a stochastic process

Language: HTML - Size: 6.48 MB - Last synced at: 3 months ago - Pushed at: almost 9 years ago - Stars: 4 - Forks: 7

wongpc0817/DML-Heston-DiffPCA

This repository implements Differential Machine Learning (DML) for pricing European options using the Heston model and introduces Differential Principal Component Analysis (Diff-PCA) to enhance computational efficiency.

Language: Jupyter Notebook - Size: 17.4 MB - Last synced at: about 2 months ago - Pushed at: 4 months ago - Stars: 0 - Forks: 0

wongpc0817/ComponentGARCH

In this project, we implemented both Heston-Nandi GARCH and Component Heston-Nandi GARCH process for Modelling VIX futures.

Language: Jupyter Notebook - Size: 604 KB - Last synced at: about 2 months ago - Pushed at: 4 months ago - Stars: 0 - Forks: 0

asancdec/Batch-Option-Pricer

(C++) Batch Option Pricer with Analytical and Numerical Sensitivities

Language: C++ - Size: 23.4 KB - Last synced at: 5 months ago - Pushed at: 8 months ago - Stars: 1 - Forks: 0

hsjharvey/Option-Pricing

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

Language: Python - Size: 190 KB - Last synced at: 4 months ago - Pushed at: over 2 years ago - Stars: 93 - Forks: 27

anthonymakarewicz/option-pricer

A high-performance C++ library for pricing European, American, and Exotic options

Language: C++ - Size: 6.58 MB - Last synced at: 5 months ago - Pushed at: 5 months ago - Stars: 0 - Forks: 0

ebrahimpichka/mc-option-pricing

Implementation of Monte Carlo option pricing in python

Language: Python - Size: 867 KB - Last synced at: 5 months ago - Pushed at: 5 months ago - Stars: 0 - Forks: 0

XiaoYunhan/American-Option-Pricing

Implementation of advanced numerical methods for pricing American options, focusing on the Spectral Collocation and Crank-Nicolson methods. Includes performance analysis in terms of accuracy, stability, and convergence.

Language: Jupyter Notebook - Size: 4.46 MB - Last synced at: 6 months ago - Pushed at: 6 months ago - Stars: 1 - Forks: 0

marwinsteiner/options-cheatsheet

A comprehensive formula collection for options pricing for Dr. Franus' IF2209 Derivatives module

Size: 12.7 KB - Last synced at: 6 months ago - Pushed at: 6 months ago - Stars: 0 - Forks: 0

George-Dros/Black-Scholes-Interactive-heatmap

An interactive Black-Scholes Option Pricing app built with Streamlit. Features include pricing heatmaps, P&L analysis, and mispricing visualization using market data. Users can explore how spot price, volatility, and other parameters impact option values and identify overvalued/undervalued options.

Language: Python - Size: 735 KB - Last synced at: 6 months ago - Pushed at: 6 months ago - Stars: 0 - Forks: 0

bstemper/deep_rough_calibration

C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.

Language: Jupyter Notebook - Size: 58.5 MB - Last synced at: 5 months ago - Pushed at: over 6 years ago - Stars: 36 - Forks: 18

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: 6 months ago - Pushed at: 6 months ago - Stars: 0 - Forks: 0

nandp1/nser

R package to download historical bhavcopy of Equities and F&O, get live market data, plot treemap of movement in securities

Language: R - Size: 1.62 MB - Last synced at: 19 days ago - Pushed at: 6 months ago - Stars: 8 - Forks: 1

DaniilVorontsov/Fourier-Option-Pricing

MSc thesis project concerned with option pricing for Levy Jump models. Package includes pricing implementations for European Call and Put options for Carr-Madan, COS and Fourier Time Stepping.

Language: Jupyter Notebook - Size: 2.75 MB - Last synced at: 3 months ago - Pushed at: 6 months ago - Stars: 0 - Forks: 1

Solstice-Designs/ScalpNet-v1

Option data suite capable of pinpointing intra-day high/lows before they happen based on "Auction Market Theory" and delta weighted volume analysis of the 0 DTE option chain for indexes.

Language: Vue - Size: 341 KB - Last synced at: 7 months ago - Pushed at: 7 months ago - Stars: 2 - Forks: 0

Rohini1992/Stock-Option-Pricing

Bloomberg API based S&P500 extraction on R. Maximum Likelihood parameter estimation of Double Exponential Jump Diffusion Model (DEJD). European option pricing using DEJD model.

Language: Python - Size: 244 KB - Last synced at: 7 months ago - Pushed at: 7 months ago - Stars: 10 - Forks: 4

wayne-turner/bsre_options

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

Language: Python - Size: 907 KB - Last synced at: 7 months ago - Pushed at: 7 months ago - Stars: 1 - Forks: 1

hedge0/OptionsKillerBotCPP

A C++-based bot developed to calculate implied volatility on option prices using the Barone-Adesi Whaley model and perform custom interpolations on the results. Built upon my original Python implementation, this version significantly enhances the performance of both the pricing calculations and interpolation processes.

Language: C++ - Size: 233 KB - Last synced at: 7 months ago - Pushed at: 7 months ago - Stars: 0 - Forks: 0

Tutusaus/Finance

This repository contains projects developed as part of my university coursework in Financial Engineering. The projects focus on the application of mathematical, statistical, and computational techniques in finance, covering topics such as time series analysis, option pricing, financial optimization, and risk management.

Language: TeX - Size: 98 MB - Last synced at: 7 months ago - Pushed at: 7 months ago - Stars: 0 - Forks: 0

daleroberts/vgfd

Finite difference solver for the 'Variance Gamma' partial-integro differential equation (PIDE)

Language: Matlab - Size: 76.2 KB - Last synced at: about 2 months ago - Pushed at: over 9 years ago - Stars: 4 - Forks: 0

yaaks7/options-pricing

Options Pricing Project

Language: JavaScript - Size: 6.48 MB - Last synced at: 7 months ago - Pushed at: 7 months ago - Stars: 1 - Forks: 0

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: 7 months ago - Pushed at: over 3 years ago - Stars: 71 - Forks: 16

AliBakly/Pricing-of-Some-Exotic-Options

Pricing of geometric and arithmetic basket calls using monte carlo methods with control variates, and application on Equity Linked Notes.

Language: Jupyter Notebook - Size: 545 KB - Last synced at: 7 months ago - Pushed at: 7 months ago - Stars: 0 - Forks: 0

hedge0/OptionsKillerBotPython

A Python-based trading bot designed to identify and trade mispriced options using the Schwab API. The bot automatically submits limit orders on options it detects as mispriced, and once the orders are filled, it delta hedges the positions to manage risk.

Language: Python - Size: 283 KB - Last synced at: 7 months ago - Pushed at: 7 months ago - Stars: 1 - Forks: 1

tthunga24/BlackScholesMonteCarlo

Flask application allowing users to calculate European options prices based on the Black-Scholes model, view and customize heatmaps for option prices, and run and view the results of Monte Carlo Simulations to approximate option prices.

Language: Python - Size: 25.4 KB - Last synced at: about 2 months ago - Pushed at: 7 months ago - Stars: 0 - Forks: 0

narobertson42/Discrete-Asian-Option-Pricing

Discrete Asian Option Pricing for GPUs

Language: C++ - Size: 6.91 MB - Last synced at: 6 months ago - Pushed at: almost 8 years ago - Stars: 11 - Forks: 1

arraystream/fftoptionlib

FFT-based Option Pricing Methods in Python

Language: Python - Size: 1.37 MB - Last synced at: 27 days ago - Pushed at: over 6 years ago - Stars: 59 - Forks: 16

victorakins02/Solving-BSE-Numerically

This repository contains the implementation of numerical methods for solving the Black-Scholes Equation and the Time-Dependent Schrödinger Equation. It features C++ code using the Crank-Nicolson method, along with Python scripts for visualizing the results. A detailed report analyzing the findings and methodologies is also included.

Language: C++ - Size: 5.52 MB - Last synced at: 6 months ago - Pushed at: 8 months ago - Stars: 1 - Forks: 0