Option Pricing
Integration.py Integration Methods: - Left Rieman - Midpoint - Gauss Legendre
PricingSimulation.py Methods involved in option pricing simulations, including: - class Random_Number(): to generate random numbers
- class Sto_Process(s_0 , k, r, sigma , tau): to generate stochastic process paths in subclasses
- subclass: Brownian_Motion
- subclass: Bachelier_Model
- subclass: CEV_Process
- functions: BS_Call, BS_Put, BS_delta
- class Payoff(): to calculate various options' payoff on specified path
- functions: Euro_Call, Euro_Put
- functions: Lookback_Call, Lookback_Put
- function calculate_implied_volatility(): takes a Sto_Process object to calculate implied volatility on Black-Scholes Model
FFT.py
Fast fourier transformation for asset pricing, mainly in Heston model.