Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

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)

JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python

An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies

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…

Hedging options by using Monte Carlo simulations or real data

Automatically derive closed-form moment and covariance formulas of any order for some Affine Jump Diffusion models.

Numerical integration of SDEs with variance reduction methods for Monte Carlo simulation

Simulation of Affine Jump Diffusions Using Broadie-Kaya Method

Simulation of Affine Jump Diffusions Using Kyriakou-Brignone-Fusai Method