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All Projects → ryanmccrickerd → rough_bergomi

ryanmccrickerd / rough_bergomi

Licence: MIT license
A Python implementation of the rough Bergomi model.

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monte-carlooption-pricingimplied-volatilityrough-volatility

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rBergomi simulation and turbocharged pricing

A Python implementation of the rough Bergomi (rBergomi) stochastic volatility model introduced by Bayer, Friz and Gatheral, using the hybrid simulation scheme of Bennedsen, Lunde and Pakkanen and variance reduction pricing methods of McCrickerd and Pakkanen.

Example Jupyter notebooks are included which demonstrate usage. Tested with Python 3.5.2 and macOS Sierra 10.12.5.

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