stochastic-volatility-models

Open-source projects categorized as stochastic-volatility-models
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Language: + Python + MATLAB
Topics: stochastic-processes levy-processes sabr heston-model barrier-option
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stochastic-volatility-model Open-Source Projects

  • torchsde

    Differentiable SDE solvers with GPU support and efficient sensitivity analysis.

  • PROJ_Option_Pricing_Matlab

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

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NOTE: The open source projects on this list are ordered by number of github stars. The number of mentions indicates repo mentiontions in the last 12 Months or since we started tracking (Dec 2020).

Index

Project Stars
1 torchsde 1,468
2 PROJ_Option_Pricing_Matlab 151

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