{"repo":"ilchen/options-pricing","free":true,"listed":false,"github":"https://github.com/ilchen/options-pricing","clone":"git clone https://github.com/ilchen/options-pricing.git","description":"Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Euro. Jupyter notebooks for pricing options using free publicly available datasets.","language":"Jupyter Notebook","stars":31,"topics":["binomial-tree","black-scholes-merton","garch-model","options-pricing","pandas-datareader","pricing","fred-api","yahoo-finance-api","finance","jupyter-notebook"],"license":"GPL-3.0","category":"trading","readme_excerpt":"options-pricing Python code for pricing European and American options on stocks, equity indices, and FX. Includes Jupyter notebooks with real-world examples using freely available public data. Packages volatility.parameter estimators — contains classes implementing maximum likelihood methods for estimating the parameters of the Exponentially Weighted Moving Average (EWMA) and GARCH(1, 1) models for tracking volatility. You can read about these models on the Internet or delve into John C. Hull's Risk Management and Financial Institutions or Options, Futures, and Other Derivatives. There are two implementations for GARCH parameter estimation: a standard one GARCHParameterEstimator , which optimizes for all the three GARCH parameters (ω, α, and β); and GARCHVarianceTargetingParameterEstimator , which is faster because it uses the so-called variance targeting method whereby it sets ω based on the sample variance of price changes. Then it optimises for only two variables instead of three as GARCHParameterEstimator does. It's marginally less accurate. volatility.volatility trackers — contains classes to track past and forecast future volatilities using EWMA and GARCH(1, 1) models. For the purposes of pricing options GARCH(1, 1) is preferred because it supports volatility forecasting for future maturities by incorporating mean reversion (and volatility of equities lends itself to mean reversion). pricing.curves — contains classes to construct yield curves and obtai","default_branch":null,"files":null,"tree":[],"storefront":"/r/ilchen","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/ilchen/options-pricing/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}