carr-madan

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DaniilVorontsov / Fourier-Option-Pricing

MSc thesis project concerned with option pricing for Levy Jump models. Package includes pricing implementations for European Call and Put options for Carr-Madan, COS and Fourier Time Stepping.

monte-carlo cuda option-pricing fourier-transform carr-madan

Updated Nov 13, 2024
Jupyter Notebook

Diljit22 / quantFin

Star

A financial options pricing and analysis library.

fast-fourier-transform option-pricing stochastic-differential-equations jump-diffusion variance-reduction black-scholes monte-carlo-methods implied-volatility derivatives-pricing hyperbolic sabr-model cgmy heston-stochastic-volatility kou-jump-diffusion bates-model carr-madan cev-model

Updated Jul 16, 2025
Python

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