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jkirkby3 / fypy

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Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.

python finance pricing calibration fourier quant option-pricing quantitative-finance quantitative-trading variance-gamma black-scholes sabr levy levy-processes options-pricing heston stochastic-volatility
  • Updated Feb 27, 2025
  • Python

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