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variance-swap

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jkirkby3 / PROJ_Option_Pricing_Matlab

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Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

options monte-carlo derivatives option-pricing quantitative-finance american-options jump-diffusion stochastic-volatility-models black-scholes fourier-transform sabr european-options levy-processes heston-model asian-option bermudan-option lookback-option variance-swap barrier-option quant-finance
  • Updated Nov 19, 2024
  • MATLAB

Idriss-Afra / Heston-Stochastic-Volatility-Model

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This project aims to implement the Heston model (1993) and apply it to price Equity Variance & Volatility Swaps.

python jupyter-notebook model-calibration stochastic-volatility-models fourier-methods heston-model options-pricing volatility-modeling characteristic-functions variance-swap stochastic-volatility options-calculator equity-derivatives quant-finance heston-stochastic-volatility volatility-swap
  • Updated Mar 20, 2026
  • Jupyter Notebook

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