Topic: jump-diffusion Goto Github
Some thing interesting about jump-diffusion
Some thing interesting about jump-diffusion
jump-diffusion,This repository contains pricing methods for equity European and American options. Monte Carlo and tree methods have been implemented for Black Scholes extensions (standard, with discrete dividend, and with single and double Normal jumps for corporate actions). This repository also contains an implementation of a Differential Evolution algorithm to back-solve model parameters given market data (read from JSON).
User: anjishtgosain
jump-diffusion,Hedging options by using Monte Carlo simulations or real data
User: itneri
jump-diffusion,An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies
User: jirotubuyaki
jump-diffusion,Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
User: jkirkby3
jump-diffusion,JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
User: lrydin
jump-diffusion,Numerical integration of SDEs with variance reduction methods for Monte Carlo simulation
User: piers-hinds
jump-diffusion,Build and simulate jump equations like Gillespie simulations and jump diffusions with constant and state-dependent rates and mix with differential equations and scientific machine learning (SciML)
Organization: sciml
Home Page: https://docs.sciml.ai/JumpProcesses/stable/
jump-diffusion,Simulation of Affine Jump Diffusions Using Broadie-Kaya Method
User: xmlongan
jump-diffusion,Simulation of Affine Jump Diffusions Using Kyriakou-Brignone-Fusai Method
User: xmlongan
jump-diffusion,Automatically derive closed-form moment and covariance formulas of any order for some Affine Jump Diffusion models.
User: xmlongan
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