heston

★ 24 Open GitHub ↗

Implementations of the Heston stochastic volatility model

Explore Similar Repositories

Heston : Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.
Volatility-carry-trading-strategy : Modelling the implicit volatility, using multi-factor statistical models.
vollab : Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathematical finance.
Pricing-Models : Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possible, even though certain models have their own Machine Learning Model with assessment and performance.
Heston-model-option-valuation-using-Monte-Carlo-simulation-and-LSM-method : This is a Python implementation of the Heston model for option pricing using Monte Carlo simulation. The code takes in parameters and generates stock price and volatility paths, calculates the option payoff, and determines the option value using the Longstaff-Schwartz algorithm for American-style options.
// repository documentation