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.
python finance pricing calibration fourier quant option-pricing quantitative-finance quantitative-trading variance-gamma black-scholes sabr levy levy-processes options-pricing heston stochastic-volatility
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Updated
Dec 12, 2024 - Python