fypy
Option pricing library
A comprehensive Python library for pricing exotic financial options and contracts using various analytical and numerical methods.
Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.
83 stars
6 watching
22 forks
Language: Python
last commit: 2 months ago black-scholescalibrationfinancefourierhestonlevylevy-processesoption-pricingoptions-pricingpricingpythonquantquantitative-financequantitative-tradingsabrstochastic-volatilityvariance-gamma
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