rough_bergomi
A Python implementation of the rough Bergomi model.
Science Score: 28.0%
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✓CITATION.cff file
Found CITATION.cff file -
○codemeta.json file
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○.zenodo.json file
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○DOI references
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✓Academic publication links
Links to: arxiv.org -
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○Scientific vocabulary similarity
Low similarity (3.0%) to scientific vocabulary
Keywords
implied-volatility
monte-carlo
option-pricing
rough-volatility
Last synced: 6 months ago
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Repository
A Python implementation of the rough Bergomi model.
Basic Info
Statistics
- Stars: 99
- Watchers: 9
- Forks: 42
- Open Issues: 0
- Releases: 0
Topics
implied-volatility
monte-carlo
option-pricing
rough-volatility
Created over 8 years ago
· Last pushed over 7 years ago
Metadata Files
Readme
Citation
README.md
rBergomi simulation and turbocharged pricing
A Python implementation of the rough Bergomi (rBergomi) stochastic volatility model introduced by Bayer, Friz and Gatheral, using the hybrid simulation scheme of Bennedsen, Lunde and Pakkanen and variance reduction pricing methods of McCrickerd and Pakkanen.
Example Jupyter notebooks are included which demonstrate usage. Tested with Python 3.5.2 and macOS Sierra 10.12.5.
Owner
- Login: ryanmccrickerd
- Kind: user
- Repositories: 1
- Profile: https://github.com/ryanmccrickerd
Citation (CITATION.md)
Should you wish to refer to this repository or any of its contents, please cite the url https://github.com/ryanmccrickerd/rough_bergomi.
GitHub Events
Total
- Issues event: 1
- Watch event: 13
- Issue comment event: 1
- Fork event: 3
Last Year
- Issues event: 1
- Watch event: 13
- Issue comment event: 1
- Fork event: 3