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updated 11 months ago

Arbitrage-Free Smoothing of the Implied Volatility Surface by Philipp Rindler

Function to smooth call option prices and implied volatilities free of static arbitrage. (implied volatility, option pricing, finance)

Arbitrage-free Smoothing of the Implied Volatility Surface


evaluateSpline(u, tau, g, gamma, close, strike, ...

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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 2 years ago

The SABR Model - Densities and MC by Kienitz Wetterau FinModelling

Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method (sabr, kienitz, doust)

BinarySABR(f, k, t, sigma, disc)

BinarySABR_1_2(f, k, t, sigma)

BinarySABR_2(f, k, t, sigma)

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updated almost 3 years ago

FinancialModelling_Ch2_ImpliedVolatility by Kienitz Wetterau FinModelling

Carr-Madan and Lewis pricing methods using FFT for many advanced financial models (finance, stochastic volatility, heston)




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updated almost 6 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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