Sensitivities of Prices of Financial Options and Implied Volatilites
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Updated
Sep 17, 2024 - R
Sensitivities of Prices of Financial Options and Implied Volatilites
In this project, I implement the Black & Scholes model to price options and analyze their Greeks, including Delta, Gamma, Theta, Vega, and Rho, along with implied volatility. The repository features interactive Jupyter notebooks and practical examples to help you understand how these concepts apply in real-world scenarios.
Real time stock and option data.
Repository contains implementation of Black-Scholes model and first-order Greeks for pricing European-style options
C++ 17 based library (with sample applications) for testing equities, futures, etfs & options based automated trading ideas using DTN IQFeed real time data feed and Interactive Brokers (IB TWS API) for trade execution. Some support for Alpaca & Phemex. Notifications via Telegram [irc: Libra #tradeframe ]
A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.
Visualize the Solar System: A Python script that plots the orbits of the major planets, with a special focus on Pluto and the Kuiper Belt. Utilizing NumPy for calculations and Matplotlib for visualization, this script provides an educational tool to explore the dynamics of our solar system, highlighting Pluto's unique orbit and the vast Kuiper Belt
Finite Difference Method for Option (European and American) pricing, with greeks for explicit. FastExplicit() is a partially vectorised form of Explicit() that is much faster.
This code aims at pricing european dividendless options using the Black-Scholes model to further create an option Portfolio and compute greeks
Monte-Carlo Simulation of Financial Sensitivities (EPFL - Stochastic Simulation)
Option price calculation based on Black Scholes equation
Programmings skills application in derivative pricing
These reports were developed for the course Stochastic methods for finance using real data from yahoo finance and analyzing it via excel VBA
Calculate the Greeks for Uniswap V3 and setup LP positions with a target delta.
Educational and practical tool for estimates of Option Pricing and calculations of Greeks using the Black-Scholes Mathematical Model.
How to hedge any positive linear gamma instrument using a “Gamma transform”
A collection of my own Quantitative Finance guides covering various topics.
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