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updated 1 year ago

Fast Matrixwise Black-Scholes Implied Volatility by Mark Whirdy

Calculates Black-Scholes Implied Volatility for Full Surface at High Speed (blackscholes, impliedvolatility, impvol)


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updated 1 year ago

Corrado and Su (1996) European Option Prices by Semin Ibisevic

Compute European put and call option prices using the Corrado and Su (1996) model. (option pricing, european, call)


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updated 2 years ago

Analytical Approximation of American Put option derived by G. BARONE-ADESI and R. E. WHALEY 1987. by Haidar Haidar

This computes an approximation of American Put option value and can plot it against asset's price (blackscholes, option valuation, derivatives)


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updated 4 years ago

Heston Option Pricer by Rodolphe Sitter

Compute European call option price using the Heston model and a conditional Monte-Carlo method (finance, stochastic, volatility)

Heston(S0, r, V0, eta, theta, kappa, strike, T, M, N)

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updated 5 years ago

Volatility Surface by Rodolphe Sitter

Compute and Plot Volatility Surfaces from Market Prices (volatility, surface, implied volatility)

VolSurface(S0, r, T, K, CallPrice)



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updated 5 years ago

3D Plot for Greeks by Rodolphe Sitter

Plot in 3 dimensions the Greeks under the Black-Scholes model for a European call (2d, greeks, finance)


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updated almost 6 years ago

Simple option pricing GUI by Ameya Deoras

A GUI that presents the results of a Black-Scholes and a Monte Carlo European option pricer (finance, modeling, analysis)

optPriceVal(type, Price, Strike, Rate, Time, Vol, Yield, ...


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