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cos-method

Here are 2 public repositories matching this topic...

Generalized-Bates-model-draft

kirillzx / Generalized-Bates-model-draft

📚SDE research and modelling in Finance📚

option-pricing stochastic-differential-equations stochastic-processes european-options heston-model characteristic-functions cos-method stochastic-correlation bates-model backward-kolmogorov-equations

Updated Jun 3, 2024
Jupyter Notebook

luisontaneda / option_pricing_pybind11

COS Method and Montercarlo simulation implementation for option pricing using pybind11.

python submodules cpp boost eigen option-pricing stochastic-processes pybind11 montecarlo-simulation cos-method

Updated Aug 12, 2024
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