#

kou-jump-diffusion

Here are 3 public repositories matching this topic...

rsadykhov / stochastic-models

Python code of commonly used stochastic models for Monte-Carlo simulations

monte-carlo-simulations monte-carlo-methods geometric-brownian-motion arithmetic-brownian-motion brownian-bridge feller-square-root-process ornstein-uhlenbeck-process constant-elasticity-of-variance heston-stochastic-volatility variance-gamma-process merton-jump-diffusion kou-jump-diffusion

Updated Jun 4, 2022
Python

hjstobart / matlab-stochastic-processes

A collection of numerical implementations for the simulation of well-known stochastic processes on MATLAB.

matlab stochastic-processes ornstein-uhlenbeck geometric-brownian-motion vasicek cox-ingersoll-ross arithmetic-brownian-motion brownian-bridge feller-square-root-process variance-gamma-process merton-jump-diffusion kou-jump-diffusion

Updated May 23, 2022
MATLAB

Diljit22 / optpricing

Pricing & calibration engine (15+ models; API + CLI + Streamlit UI)

fast-fourier-transform option-pricing stochastic-differential-equations jump-diffusion variance-reduction black-scholes monte-carlo-methods implied-volatility derivatives-pricing hyperbolic sabr-model cgmy heston-stochastic-volatility kou-jump-diffusion bates-model carr-madan cev-model

Updated Jul 28, 2025
Python

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