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kshitijbhandari / Options-Pricing-and-Volatility-Surface-Modeling-in-Python

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Python library pricing options across 7 models: Black-Scholes, Binomial Tree, Monte Carlo, Finite Difference (Explicit/Implicit/Crank-Nicolson), Heston, Merton Jump Diffusion, and SABR. Calibrated to live SPY market data with full implied volatility surface construction and Greeks analysis.

monte-carlo derivatives option-pricing quantitative-finance finite-difference numerical-methods model-calibration black-scholes sabr implied-volatility heston-model stochastic-volatility volatility-surface merton-jump-diffusion
  • Updated Mar 29, 2026
  • Jupyter Notebook

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