fypy
Unverified Other strategy on Options by jkirkby3. BotFinder score 18 out of 100.
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 ca
Source: github
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fypy
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. This library is under active development, although the currently posted features are relatively stable. Currently Supported Models - Black-Scholes - Jump Diffusions: Merton, Kou (Double Exponential) - Levy: (VG, NIG, CGMY/KoBoL, MJD, Kou, Tempered-Stable, Bilateral Gamma, etc) - Stochastic Volatility: Heston - SVJ: Bates, Heston + Double Expo Jumps - SLV: SABR Pricing Methods - Analytical: closed form pricing when available, e.g. Black Scholes - Fourier: PROJ (Frame Projection), Lewis, Gil-Peleaz, Carr-Madan, Hilbert Transform - More in progress (PDE, Monte Carlo, etc) ... Model Calibration - Levy Model Calibration (VG, NIG, CGMY, MJD, Kou, Tempered-Stable, Bilateral Gamma, etc) - Heston Stochastic Volatility Model Calibration - Stochastic Volatility with Jumps Model Calibration - SABR Model calibration Contract types supported (single underlying): - Europea
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