Top 12 option-pricing open source projects

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

Simple python/streamlit web app for European option pricing using Black-Scholes model, Monte Carlo simulation and Binomial model. Spot prices for the underlying are fetched from Yahoo Finance API.

Black Scholes formula and greeks

I have been deeply interested in algorithmic trading and systematic trading algorithms. This Repository contains the code of what I have learnt on the way. It starts form some basic simple statistics and will lead up to complex machine learning algorithms.

Python Financial ENGineering (PyFENG package in PyPI.org)

European/American/Asian option pricing module. BSM/Monte Carlo/Binomial

Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks

A Python implementation of the rough Bergomi model.

Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied volatility, Greeks hedging

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

Interactive app to monitor market using Python

Implementations of the Heston stochastic volatility model