hestonpy

hestonpy is now avalaible on PyPi !

pip install hestonpy

The hestonpy Python package implements the Heston and Black-Scholes models for option pricing and portfolio management. The package also includes functionality for optimal portfolio allocation using stochastic control techniques.

Covered topics by the hestonpy package [TO DO: calibration on iv surface + SVJ simulations/monte carlo]:

1. path simulations
2. pricing plain european vanilla options
3. model calibration (smile) from yahoo finance and personnal data
4. SVI implementation
5. asset allocations (stochastic optimal control under Heston dynamics)

License

hestonpy was created by Théophile SCHMUTZ (@SarcasticMatrix). It is licensed under the terms of the MIT license.