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jump-diffusion-mertons-model

Here are 6 public repositories matching this topic...

cantaro86 / Financial-Models-Numerical-Methods

Collection of notebooks about quantitative finance, with interactive python code.

python linear-regression econometrics partial-differential-equations option-pricing quantitative-finance jupyter-notebooks stochastic-differential-equations american-options kalman-filter stochastic-processes monte-carlo-methods financial-engineering financial-mathematics levy-processes heston-model brownian-motion jump-diffusion-mertons-model fourier-inversion linear-systems-equations

Updated Oct 22, 2024
Jupyter Notebook

Robin-Guilliou / Option-Pricing

Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).

monte-carlo option-pricing binomial-model black-scholes fourier-transform implied-volatility finite-difference-schemes heston-model jump-diffusion-mertons-model barrier-option

Updated Jan 11, 2022
Jupyter Notebook

Andreamac7 / Hunting-for-Smiles

Option modelling in the Jump Diffusion Model

finance options modelling implied-volatility jump-diffusion-mertons-model

Updated Jan 3, 2021
Jupyter Notebook

ITNeri / Stock_price_path_simulation

Single and mutiple stock price paths simulation

monte-carlo-simulation jump-diffusion-mertons-model

Updated Aug 11, 2021
Jupyter Notebook

briancsavage-shift / Option-Pricing-Model

Option Price Forecaster

monte-carlo-simulation option-pricing jump-diffusion-mertons-model geometric-brownian-motion

Updated Dec 23, 2021
C

arjundhatt13 / jumpdiffusion

Conducting Monte Carlo simulation of stochastic models (GBM, Merton Jump Diffusion Model) for the forecasting of stock positions. Serves as a "prelude" to the heston repository.

quantitative-finance jump-diffusion-mertons-model stochastic-modelling

Updated Dec 30, 2023
Python

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