Pricing-Models
Unverified ML strategy on Forex by white07S. BotFinder score 18 out of 100.
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 ow
Source: github
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Pricing-Models
Pricing-Models Binomial Option Pricing Model To value American options, the binomial option pricing model employs an iterative approach that employs multiple periods. Each iteration of the model has two possible outcomes: a move up or a move down that follows a binomial tree. More details: https://en.wikipedia.org/wiki/Binomialoptionspricingmodel Heston model The Heston process is described by the system of SDE s : $$ \begin{cases} dSt = \mu St dt + \sqrt{vt} St dW^1t \\ dvt = \kappa (\theta - vt) dt + \sigma \sqrt{vt} dW^2t \end{cases}$$ The stock price follows a "geometric Brownian motion" with a stochastic volatility. The square of the volatility (the variance) follows a CIR process. The parameters are: - $\mu$ drift of the stock process - $\kappa$ mean reversion coefficient of the variance process - $\theta$ long term mean of the variance process - $\sigma$ volatility coefficient of the variance process - $\rho$ correlation between $W^1$ and $W^2$ i.e. $dW^1t dW^2t = \rho dt$ The option price can be calculated in a variety of ways, including the Lewis method, the Fourier-inversio
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