The Wayback Machine - https://web.archive.org/web/20200712041459/https://github.com/topics/jump-diffusion

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jump-diffusion

Here are 3 public repositories matching this topic...

SciML / DiffEqJump.jl

Star

Build and simulate jump equations like Gillespie simulations and jump diffusions with constant and state-dependent rates

ssa ode stochastic differential-equations sde gillespie jump-diffusion neural-ode neural-differential-equations scientific-ml scientific-ai hybrid-differential-equation stochastic-jump-equations

Updated Jul 6, 2020
Julia

jkirkby3 / PROJ_Option_Pricing_Matlab

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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 swing-option lookback-option variance-swap barrier-option

Updated Mar 22, 2020
MATLAB

jirotubuyaki / Jdmbs

Star

Jdmbs: An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies

finance cran monte-carlo stock-market derivatives option option-pricing sde stochastic-differential-equations jump-diffusion stochastic-processes black-scholes computational-finance brownian-motion

Updated Jun 7, 2020
R

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