rough_bergomi
Stochastic volatility model
An implementation of the rough Bergomi model for stochastic volatility and option pricing in Python.
A Python implementation of the rough Bergomi model.
115 stars
9 watching
42 forks
Language: Jupyter Notebook
last commit: over 6 years ago
Linked from 1 awesome list
implied-volatilitymonte-carlooption-pricingrough-volatility
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