black-scholes | Topic | Ecosyste.ms: Repos

Topic: "black-scholes"

mcdallas/wallstreet

Real time stock and option data.

Language: Python - Size: 221 KB - Last synced at: 2 months ago - Pushed at: about 1 year ago - Stars: 1,516 - Forks: 214

rgaveiga/optionlab

A Python library for evaluating option trading strategies.

Language: Python - Size: 1.25 MB - Last synced at: 3 months ago - Pushed at: 3 months ago - Stars: 368 - Forks: 72

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: 2 months ago - Pushed at: 7 months ago - Stars: 213 - Forks: 62

AnthonyBradford/optionmatrix

Financial Derivatives Calculator with 171+ Models (Options Calculator)

Language: C++ - Size: 92 MB - Last synced at: 4 months ago - Pushed at: 5 months ago - Stars: 210 - Forks: 46

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: 5 months ago - Pushed at: 9 months ago - Stars: 179 - Forks: 67

PyFE/PyFENG

Python Financial ENGineering (PyFENG package in PyPI.org)

Language: Python - Size: 3.29 MB - Last synced at: 28 days ago - Pushed at: 9 months ago - Stars: 164 - Forks: 73

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

hsjharvey/Option-Pricing

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

Language: Python - Size: 190 KB - Last synced at: 6 months ago - Pushed at: over 2 years ago - Stars: 93 - Forks: 27

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: 5 months ago - Pushed at: 6 months ago - Stars: 90 - Forks: 22

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: over 2 years ago - Pushed at: almost 3 years ago - Stars: 74 - Forks: 33

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 at: almost 2 years ago - Pushed at: about 2 years ago - Stars: 73 - Forks: 18

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

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: 4 months ago - Pushed at: almost 5 years ago - Stars: 61 - Forks: 6

joaquinbejar/OptionStratLib

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

Language: Rust - Size: 58.8 MB - Last synced at: 13 days ago - Pushed at: 21 days ago - Stars: 57 - Forks: 16

rcalxrc08/FinancialToolbox.jl

Useful functions for Black–Scholes Model in the Julia Language

Language: Julia - Size: 2.03 MB - Last synced at: 14 days ago - Pushed at: 9 months ago - Stars: 51 - Forks: 11

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 at: 4 months ago - Pushed at: over 2 years ago - Stars: 42 - 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: 4.1 MB - Last synced at: 12 days ago - Pushed at: about 1 month ago - Stars: 37 - Forks: 6

Michalos88/Quant-Projects

Implementations of Leading Algorithms in Quantitative Finance

Language: Python - Size: 407 KB - Last synced at: over 1 year ago - Pushed at: about 8 years ago - Stars: 34 - Forks: 17

bradleyboyuyang/Statistical-Arbitrage

High-frequency statistical arbitrage

Language: Jupyter Notebook - Size: 84.4 MB - Last synced at: about 2 years ago - Pushed at: about 2 years ago - Stars: 32 - Forks: 7

SciML/DiffEqFinancial.jl

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

Language: Julia - Size: 373 KB - Last synced at: 7 days ago - Pushed at: 3 months ago - Stars: 29 - Forks: 14

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: 3.74 MB - Last synced at: 2 months ago - Pushed at: 2 months ago - Stars: 24 - Forks: 6

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: 4 months ago - Pushed at: 6 months ago - Stars: 23 - Forks: 9

Mephistopheles-0/DeepBSDE

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

Language: Jupyter Notebook - Size: 388 KB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 22 - Forks: 8

primitivefinance/rmm-math

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

Language: TypeScript - Size: 735 KB - Last synced at: about 6 hours ago - Pushed at: over 2 years ago - Stars: 22 - Forks: 3

jirotubuyaki/Jdmbs

An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies

Language: R - Size: 33 MB - Last synced at: over 2 years ago - Pushed at: about 5 years ago - Stars: 22 - Forks: 7

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: 3 months ago - Pushed at: 3 months ago - Stars: 20 - Forks: 2

Vicarisi-Ventures/VolArbitrage

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

Language: Go - Size: 21 MB - Last synced at: about 2 years ago - Pushed at: almost 3 years ago - Stars: 19 - Forks: 6

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 at: over 1 year ago - Pushed at: about 3 years ago - Stars: 18 - Forks: 7

TatevKaren/Finance-Projects

Case Studies in Finance: Stock Price Valuation using Black-Scholes using Brownian Motions, Investment Project comparing Stocks and Bonds, Determining Pension Fund's Premium. (Case Study Papers and Code)

Language: MATLAB - Size: 1.82 MB - Last synced at: about 2 months ago - Pushed at: over 4 years ago - Stars: 18 - Forks: 2

erkandem/calcbsimpvol

Calculate Black Scholes Implied Volatility - Vectorwise

Language: Python - Size: 6.85 MB - Last synced at: 12 months ago - Pushed at: over 4 years ago - Stars: 15 - Forks: 5

f-z/financial-modelling

Financial modelling, derivatives, investments

Language: Java - Size: 6.26 MB - Last synced at: 3 months ago - Pushed at: about 6 years ago - Stars: 15 - Forks: 5

advait/rainbow-options

Visualize options portfolios like rainbows

Language: TypeScript - Size: 6.41 MB - Last synced at: 4 months ago - Pushed at: over 2 years ago - Stars: 14 - Forks: 1

Indemos/Estimator

Statistics and performance metrics in trading, CAGR, Sharpe, MAE, MFE, and others. Cointegration and option pricing.

Language: C# - Size: 451 KB - Last synced at: 2 days ago - Pushed at: about 2 months ago - Stars: 13 - Forks: 5

aidinattar/Volatility-carry-trading-strategy

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

Language: Python - Size: 98.1 MB - Last synced at: 3 months ago - Pushed at: 3 months ago - Stars: 13 - Forks: 7

PyFE/FE-R

Financial Engineering in R

Language: R - Size: 89.8 KB - Last synced at: over 1 year ago - Pushed at: over 4 years ago - Stars: 13 - Forks: 4

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 at: almost 2 years ago - Pushed at: almost 2 years ago - Stars: 12 - Forks: 1

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 at: 4 months ago - Pushed at: over 1 year ago - Stars: 11 - Forks: 3

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: about 1 month ago - Pushed at: about 3 years ago - Stars: 10 - Forks: 2

AlbertLin0327/Black-Scholes-Option

Black Scholes PDE to calculate Option price and Greek Letter

Language: Python - Size: 514 KB - Last synced at: about 1 year ago - Pushed at: about 4 years ago - Stars: 10 - Forks: 2

dwasse/cryptopt

Cryptocurrency option analysis, with theoretical value and greek calculations.

Language: Jupyter Notebook - Size: 1.66 MB - Last synced at: over 2 years ago - Pushed at: over 2 years ago - Stars: 9 - Forks: 3

cm-jones/thales

An options trading bot

Language: C++ - Size: 885 KB - Last synced at: 26 days ago - Pushed at: 26 days ago - Stars: 8 - Forks: 0

aidinattar/Financial-Mathematics

Weekly exercises of the course of Stochastic Methods for Finance.

Language: Julia - Size: 19.7 MB - Last synced at: 3 months ago - Pushed at: 3 months ago - Stars: 8 - Forks: 1

cate-art/ANN-Option-Pricing-

Option pricing and Delta hedging performance comparison between Black and Scholes vs Artificial Neural Network

Language: Python - Size: 336 KB - Last synced at: over 2 years ago - Pushed at: over 4 years ago - Stars: 8 - Forks: 0

enesozi/Option-Pricing-Stochastic-Volatility

Language: Jupyter Notebook - Size: 1.85 MB - Last synced at: over 1 year ago - Pushed at: over 7 years ago - Stars: 8 - Forks: 6

juliusberner/Deep-Multilevel-Kolmogorov-PDE-Solver

Solving stochastic differential equations and Kolmogorov equations by means of deep learning and Multilevel Monte Carlo simulation

Language: Jupyter Notebook - Size: 16.6 KB - Last synced at: over 2 years ago - Pushed at: almost 4 years ago - Stars: 7 - Forks: 0

Kamesh-K/Options-Visualization

Visualization of vanilla options and exotics. BS Model for a vanilla option is used to describe the pay-off option.

Language: Jupyter Notebook - Size: 1.12 MB - Last synced at: over 2 years ago - Pushed at: about 5 years ago - Stars: 7 - Forks: 2

sandershortway/BlackScholesHeston

Determine implied volatility according to Black-Scholes dynamics.

Language: Python - Size: 77.1 KB - Last synced at: 1 day ago - Pushed at: 2 days ago - Stars: 6 - Forks: 3

vantessel/black-scholes-bonanza

A library to deal with options and option strategies

Language: TypeScript - Size: 58.6 KB - Last synced at: 7 days ago - Pushed at: over 2 years ago - Stars: 6 - Forks: 1

yuvalofek/Financial-Signal-Processing

Financial engineering from a signal processing perspective

Language: Jupyter Notebook - Size: 877 KB - Last synced at: over 1 year ago - Pushed at: almost 3 years ago - Stars: 6 - Forks: 1

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 at: almost 2 years ago - Pushed at: over 6 years ago - Stars: 6 - Forks: 1

carlobortolan/quantrs

A (very) fast Rust library for quantitative finance.

Language: Rust - Size: 4.55 MB - Last synced at: 6 days ago - Pushed at: 6 days ago - Stars: 5 - Forks: 3

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: 7 months ago - Pushed at: 7 months ago - Stars: 5 - Forks: 1

kyosenergy/options-calculator

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

Language: PHP - Size: 95.7 KB - Last synced at: 20 days ago - Pushed at: over 1 year ago - Stars: 5 - Forks: 2

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 at: almost 2 years ago - Pushed at: about 5 years ago - Stars: 5 - Forks: 4

mrigankdoshy/options-pricing

This research project applies an object oriented approach to compute the prices of American and European Call and Put options using different pricing methods such as Monte Carlo, the analytical Black-Scholes formula and the Binomial tree method.

Language: C++ - Size: 1.31 MB - Last synced at: 4 months ago - Pushed at: over 5 years ago - Stars: 5 - Forks: 1

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 at: 3 months ago - Pushed at: over 6 years ago - Stars: 5 - Forks: 2

bxrne/launchrail

HPR Rocket Simulator

Language: Go - Size: 6.94 MB - Last synced at: 17 days ago - Pushed at: 18 days ago - Stars: 4 - Forks: 1

rob-blackbourn/jetblack-options

Reference implementations of option pricing formulae in Python

Language: Python - Size: 3.26 MB - Last synced at: 30 days ago - Pushed at: over 1 year ago - Stars: 4 - Forks: 0

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 at: 4 months ago - Pushed at: over 1 year ago - Stars: 4 - Forks: 2

MeShootIn/computational-mathematics

🧮 Solving the Black-Scholes equation by the finite-difference methods and researching of the Cuthill-McKee and the minimum degree algorithms

Language: Jupyter Notebook - Size: 3.28 MB - Last synced at: over 2 years ago - Pushed at: about 3 years ago - Stars: 4 - Forks: 0

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: 5 months ago - Pushed at: about 9 years ago - Stars: 4 - Forks: 7

ramonVDAKKER/teaching-quantitative-finance

Auxiliary material course Quantitative Finance (Tilburg University)

Language: Jupyter Notebook - Size: 9.83 MB - Last synced at: 8 months ago - Pushed at: 8 months ago - Stars: 3 - Forks: 0

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: 21 days ago - Pushed at: 9 months ago - Stars: 3 - Forks: 0

yash-k21/Black-Scholes-Calculator

This project implements an options pricing model based on the Black-Scholes formula, featuring visualizations and Greek partial derivatives for in-depth analysis.

Language: Python - Size: 19.5 KB - Last synced at: 14 days ago - Pushed at: about 1 year ago - Stars: 3 - Forks: 1

louisgeist/Pricer

2nd year project at ENSAE Paris. (2 contributors : Justin Ruelland & Louis Geist)

Language: C++ - Size: 21.4 MB - Last synced at: over 2 years ago - Pushed at: over 2 years ago - Stars: 3 - Forks: 1

luphord/gaussian-analytics

JavaScript library for analytical pricings of financial derivatives under (log)normal distribution assumptions

Language: JavaScript - Size: 260 KB - Last synced at: 28 days ago - Pushed at: over 2 years ago - Stars: 3 - Forks: 1

z4ir3/derivatives-playground

Python tkinter GUI for interactive Black-Scholes option prices/greeks plot

Language: Python - Size: 9.73 MB - Last synced at: over 2 years ago - Pushed at: almost 3 years ago - Stars: 3 - Forks: 1

Matteo-Ferrara/option-pricer

Option pricing using Black-Scholes model, Bachelier model, Binomial Trees and Monte Carlo simulation under different stochastic processes

Language: Python - Size: 50.8 KB - Last synced at: over 2 years ago - Pushed at: about 3 years ago - Stars: 3 - Forks: 0

virajvaidya/OptionsPricing

Application of Black Scholes model and computation of greeks of European style options in Python.

Language: Jupyter Notebook - Size: 5.86 KB - Last synced at: 6 months ago - Pushed at: over 3 years ago - Stars: 3 - Forks: 1

vishishtpriyadarshi/MA473-Computational-Finance-Project

Finite Difference Method for the Multi-Asset Black–Scholes Equations

Language: MATLAB - Size: 7.18 MB - Last synced at: about 1 month ago - Pushed at: over 3 years ago - Stars: 3 - Forks: 4

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 at: over 2 years ago - Pushed at: almost 4 years ago - Stars: 3 - Forks: 1

ITNeri/Dynamic_Delta_Hedging

Hedging options by using Monte Carlo simulations or real data

Language: Python - Size: 101 KB - Last synced at: over 2 years ago - Pushed at: almost 4 years ago - Stars: 3 - Forks: 0

wbyates777/OptionPriceDemo

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

Language: C++ - Size: 23.4 KB - Last synced at: 3 months ago - Pushed at: 3 months ago - Stars: 2 - Forks: 0

yfnaji/blackdash

An interactive dashboard for options analyses

Language: Python - Size: 68.4 KB - Last synced at: 4 months ago - Pushed at: 4 months ago - Stars: 2 - Forks: 1

aaravp6/Black-Scholes-Iron-Condor-Trading-Strategy

Iron Condor options trading strategy based on the Black Scholes model

Language: Python - Size: 5.86 KB - Last synced at: 7 months ago - Pushed at: 11 months ago - Stars: 2 - 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 at: over 1 year ago - Pushed at: over 1 year ago - Stars: 2 - Forks: 0

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 at: almost 2 years ago - Pushed at: almost 2 years ago - Stars: 2 - Forks: 0

EricJXShi/Black-Scholes-FEM

Using Finite Element and Finite Difference Methods to Price European Options

Language: MATLAB - Size: 8.17 MB - Last synced at: over 2 years ago - Pushed at: about 3 years ago - Stars: 2 - Forks: 0

sdediego/quantitative-finance

Quantitative and computational finance library

Language: Matlab - Size: 51.8 KB - Last synced at: about 2 months ago - Pushed at: almost 8 years ago - Stars: 2 - Forks: 4

crodriguezvega/black-scholes-european-option

European option price and greeks graphs in Black-Scholes model using Matlab.

Language: Matlab - Size: 3.89 MB - Last synced at: 4 months ago - Pushed at: over 8 years ago - Stars: 2 - Forks: 0

HappySeaFox/black-scholes

📊 Black-Scholes options pricing model.

Language: HTML - Size: 291 KB - Last synced at: about 1 month ago - Pushed at: about 1 month ago - Stars: 1 - Forks: 0

Moe-Dada/risk_neutral

A Python library for pricing options under various risk-neutral density assumptions, computing option-implied densities, and extracting model parameters from market data.

Language: Python - Size: 131 KB - Last synced at: about 1 month ago - Pushed at: 2 months ago - Stars: 1 - Forks: 0

ferrangarciarovira/VaR-Volatility-Models

Comparative analysis of Value at Risk (VaR) measures using Black-Scholes pricing under different volatility models: jump diffusion, SABR and rough volatility.

Language: Jupyter Notebook - Size: 35 MB - Last synced at: about 2 months ago - Pushed at: 2 months ago - Stars: 1 - Forks: 0

MerkleBlue/defimath

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

Language: Solidity - Size: 4.28 MB - Last synced at: 3 months ago - Pushed at: 3 months ago - Stars: 1 - 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: 40 KB - Last synced at: about 1 month ago - Pushed at: 3 months ago - Stars: 1 - Forks: 0