Black–Scholes model

https://en.wikipedia.org/wiki/Black%E2%80%93Scholes_model

https://github.com/mathnet/mathnet-numerics

Black-Scholes in Multiple Languages

https://cseweb.ucsd.edu//~goguen/courses/130/SayBlackScholes.html

1. C#. OptionPricing VC\OptionsBS\BlackScholesOptionsCalculation

https://github.com/MichaelKono/BlackScholesOptionsCalculation

All Languages, Simple

http://bot4sale.ru/blog-menu/qlua/344-black-scholes.html

Python MonteCarlo

It's just a proof of concept of using TensorFlow to compute quantitative finance problems

Model: Black-Scholes
Method: Monte Carlo
Language: Python with TensorFlow

https://github.com/croquelois/BlackScholesMC-TF

Javascript

Black-Scholes fair option price calculator in JS. Greeks included.

The library can be added to your website for use via CDN by adding the following tag to your website:

https://black-scholes-js.netlify.app

https://github.com/colbyhemond/BlackScholesJS

1. C++

This project implements a Monte Carlo simulation of the Black-Scholes financial model, using both the European and the Asian options. It contains an OpenCL C++ kernel, to be mapped to FPGA via SDAccel. It provides much better energy-per-operation than a GPU implementation, at a comparable performance level. Further details can be found in the following paper. If you find this work useful for your research, please consider citing:

https://github.com/dr-liangma/BlackScholes_MonteCarlo

Python

Benchmark computing Black Scholes formula using different technologies

https://github.com/IntelPython/BlackScholes_bench

pyOptionPricing, binomial, BlackScholes, garman_klass_vol, historical_vol

https://github.com/boyac/pyOptionPricing

javascript, typescript

https://github.com/opynfinance/BlackScholes

Perl

Prices options using the GBM model, all closed formulas.

Important(a): Basically, one_touch, up_or_down and double_touch have two cases of payoff either at end or at hit. We treat them differently. We use parameter $w to differ them.

https://github.com/binary-com/perl-Math-Business-BlackScholesMerton

https://github.com/MichaelKono/BlackScholesOptionsCalculation

Python. Jupiter

https://github.com/jknaudt21/Option-Scraper-BlackScholes

https://github.com/Branda22/blackscholes.go

java. html, Conf. Interval

A Java implementation of the Black-Scholes Option Pricing Model Calculator, using closing stock prices from Yahoo! Finance. Created while studying for SOA Exam MFE.

Run the program using BlackScholesCalc.jar in the base directory.

https://github.com/AlexFiliakov/BlackScholesCalculator

Python. Jupiter

Download this repository and put it somewhere appropriate on your computer. Bookmark the address of the repository as we will use it to share additional files on the day. In it, you will find the following files to help you prepare for the day:

introQF_warmup.ipynb a Jupyter notebook that runs through the python commands we will use during the weekend. We will not use classes but we will use lists manipulations, as well as numpy and matplotlib. If you haven't used those before we strongly recommend you go through this notebook and read up on those topics.
intrQF_introprobability.pdf a short document on basic probability theory that we will use extensively on the day. Most of you should be familiar with this, if not, we recommend you go through the document and make sure everything is clear.

https://github.com/nwihardjo/BlackScholes-Pricer

Perl

The Greeks modules calculate the sensitivity of the price of binary options to a change in the underlying parameters of the financial asset.

https://github.com/binary-com/perl-Math-Business-BlackScholes-Binaries-Greeks

Python. Jupiter

Can an artificial neural network learn the Black Scholes option pricing formula .... yes, and quite easily. This problem will be used as a starting point for implementing neural architecture search (NAS). See the following two papers Neural Architecture Search With Reinforcement Learning and Efficient Neural Architecture Search via Parameter Sharing for an overview.

See here for an overview of the Black Scholes formula.

Notebook (Option_Data.ipynb) creates a dataset of approximately 1 million examples by pricing a call option using the Black Scholes formula over a range of possible parameters. This dataset will be used to train the neural network.

Notebook (BS_Keras.ipynb) implements a simple feed forward neural network using Keras to approximate the Black Scholes formula. It achieves a fairly high accuracy after a minimal amount of training time.

Notebook(BS_RandomSearch.ipynb) uses the GridSearch library from Scikit-learn to perform a non-exhaustive hyperparameter search (i.e., different optimizers).

Future notebooks will compare different libraries that allow you to search more parameters and/or are directed, such as Talos, Hyperas, Auto-Keras, and DARTS.

https://github.com/cshannonn/blackscholes_nas

Python

Implementation of Monte Carlo simulations and Black-Scholes method to calculate prices for American and European options respectively.

https://www.shashan.info/blog/option-pricing-part-2-european

https://github.com/shashank-khanna/Option-Pricing

Python

Quantsbin 1.0.3, which started as a weekend project is currently in its initial phase and incorporates tools for pricing and plotting of vanilla option prices, greeks and various other analysis around them. We are working on optimising calculations and expanding the scope of library in multiple directions for future releases.

Option payoff, premium and greeks calculation for vanilla options on Equity, FX, Commodity and Futures.
Capability to calculate greeks numerically for all models and also analytically for Black Scholes Model.
Price vanilla options with European expiry using BSM, Binomial tree and MonteCarlo with option to incorporate continuous compounded dividend yield for Equity options, cost and convenience yield for Commodity options and local and foreign risk-free rate in case of FX options. It also allows option to give discrete dividends in cased of Equity options.
Price vanilla options with American expiry using Binomial tree and MonteCarlo(Longstaff Schwartz) method. There is option to provide discrete dividends for Equity options for both the models.
Implied volatility calculation under BSM framework model.
Option to create user defined or standard strategies using multiple single underlying options and directly generate and plot valuation and greeks for these strategies.

https://github.com/quantsbin/Quantsbin

R, Python, Jupiter

BlackScholes is a dashboard designed to be used to aid the development of options trading strategies and algorithms. An understanding of all the types of risk your strategy exposes you to is crucial to building and fine-tuning your model. One often overlooked type of risk can be measured by what are colloquially called 'the Greeks'.

These option Greeks are simply the derivatives of the Black Scholes pricing model with respect to each of the parameters, but even first-order greeks can have complex surfaces, and second or third-order greeks quickly become difficult to visualize in your mind's eye.

https://plotly.com/r/

https://shiny.rstudio.com/reference/shiny/1.0.5/

https://github.com/Karagul/BlackScholes

Java

Financial Services Options Pricing using Blackscholes and Monte Carlo

hub.com/asedighi/blackscholes

blackscholes

Binomial model for options
Stochastic model for stock price
Ito’s formula
Derivation of Black Scholes equation
Partial differential equations: the heat equation
Rewriting the BS equation as the heat equation
Value of European call and put options
American options
Free boundary problems
Linear complementarity problem
Numerical methods: introduction
Forward and backward methods
LU-method
Iterative methods

https://github.com/AnneLouisedb/FinancialMath

2. mpi c++, c

MPI implementations of Fluidanimate and Blackscholes from PARSEC Multithreaded Benchmark.

https://github.com/jahanzebmaqbool/parsec-mpi

Python, Jupiter

pyBlackScholesAnalytics package is a Python package designed to use the well known Black-Scholes model to evaluate price, P&L and greeks of European options (both plain-vanilla and simple equity exotics such as cash-or-nothing Digital options), as well as simple option strategies built on them.

https://github.com/gabrielepompa88/pyBlackScholesAnalytics

27. BS Model C++

We're implementing an options Pricer which can use either a Binomial Model or a BlackScholes Model for the underlying.

for the Binomial model, we use the risk Neutral probability method and the std::queue object help us to iterate the calcul for any period.

For the BlackScholes Model, we use a mersenne twister Generator and Box-Muller algorithm to generate a normal distribution. With this we're able to price: -> Put -> Call -> DigitalCall -> DigitalPut

https://github.com/BWhannou/BlackScholesModel_VS

3. C++

Black Scholes Formula

https://github.com/jay754/blackscholes

4. R, C++

This package provides fast methods to work with Merton's distance to default model. The methods includes simulation and estimation of the parameters. It can be installed with devtools by calling

https://github.com/boennecd/DtD

5. C++ Greeks

https://github.com/pepelawycliffe/blackschole

Py, C, c from py

https://github.com/trevorc/blackscholes

php

from All languages https://cseweb.ucsd.edu//~goguen/courses/130/SayBlackScholes.html

https://github.com/shadiakiki1986/php-blackscholes

6. C++, xml - serialization, class example

https://github.com/wut08/BlackScholes

Java csv file equity option

This is a sample code to calculate the price if Equity Option
using JQuantlib open source jar version 0.2.4.

- AAPL (Apple) option data taken from Yahoo finance
- Before running the code, copy the OptionData.csv file from docs to resources
- Sample code runs with single thread for now

http://www.jquantlib.com/en/latest/

https://github.com/sbadanhatti/equityoption

7. C++ price simulation, options strategy, class, Europian, American, Digital

https://github.com/Axaxa1/BlackScholes

BS Calculator javascript Chart Demo

The Black Scholes formula gives the theoretical price of a simple vanilla call or put option based on a set of market parameters, as well as several derivatives of this price, known as the Greeks.

This is a simple calculator here with a 2D / 3D viewer to help understand the sensitivities of such option price to the formula inputs.

Based on highcharts for the 2D viewer, and Almende graph3d for the 3D viewer.

https://github.com/oscar6echo/BlackScholesCalculator

OptionValuation - FiniteDifferenceMethods Implicit &Explicit- Binomial, BlackScholes,

Option Pricing with Finite Difference Methods in R

This repository demonstrates several Finite difference methods for option pricing. There is:

* implicit finite difference method


* explicit finite difference method

* Crank-Nicolson scheme

https://github.com/QGoGithub/Options_FiniteDiffMethods

7. C++ greeks, MonteCarlo, Simulation, putcallparity, random generator mt19937

Option_Pricing_Cpp BlackScholes, Greeks, Monte Carlo Pricing Engine

https://github.com/aketkar/Option_Pricing_Cpp

Perl

Prices options using the GBM model, all closed formulas.

https://github.com/gitpan/Math-Business-BlackScholes-Binaries

2. C# Cnd, price, Stopwatch, Performance Test

https://github.com/7sharp9/BlackScholesTasteTest

3. C# Forms, price,

Accord.Statistics.Distributions.Univariate

NormalDistribution Normal = new NormalDistribution()

https://www.nuget.org/packages/Accord.Statistics/

4.C# Good need to implement. Interface

Black–Scholes formula. Simple implementation of the famous Black – Scholes formula. You can compare option pricing, for example on the deribit.com options exchange.

https://github.com/vadimvlk/BlackScholes

5. C#. Need To Implement

A simple WPF application for Call & Put premium calculation using BlackScholes method

The options calculator is accessed after login In to simpliy only the the username cheched. any password will work

Technical features:

WPF
MVVM
Authentication
Validation
Exceptions handling
Event Aggregator

-Nuget packages:

xUnit
Moq
xUnit runner
Newtonsoft.Json

https://github.com/FullCod/BSOptionsPricer

6. C# Price, Simple, CDF

https://github.com/kuankuan27/BlackScholes

7. C# Price,

https://github.com/tergabri/BlackScholes

Simple GUI pricer

Enter values for different paramters Numbers should be entered on the international format (with dots)

I made this app out of a sample here:

https://www.markwithall.com/programming/2013/03/01/worlds-simplest-csharp-wpf-mvvm-example.html

8. C# Simple Price, NDF, CDF Need to ...

https://github.com/gavinlevy/BlackScholes

9. C# Pricing. NetCore 2.2

Implementation of black scholes pricing for options

https://github.com/ZackBorton/BlackScholes

10. C# Wpf. OptionCalculator Nice WpfForm

https://github.com/Janderson/BlackScholesCalculator

11. C#

Options pricer GUI in C#, capable of calculating the price of European call or put options using the Black-Scholes pricing model.

The Black-Scholes pricing model takes the following input parameters:

S	Stock price
K	Strike price
t	Time to maturity in years
σ	Standard deviation of underlying stock
r	Risk-free interest rate

Based on these parameters, define the values d_1 and d_2 as follows:

d_1=  ( ln⁡(S/K)+(r+ σ^2/2)t)/(σ√t)
d_2=d_1-σ√t

The premiums for a call option c and a put option p are then calculated as follows:

c=SN(d_1 )-Ke^(-rt) N(d_2)
p=Ke^(-rt) N(-d_2 )-SN(-d_1)

Where N is the cumulative normal distribution function.

https://github.com/kbarki/BlackScholesOptionsPricer

12. C# WinForms, Simple

https://github.com/Junglists/Assignment-2-BlackScholes

13. C# PDF AspNetCore

https://github.com/MaiCaz/BlackScholesProject/blob/master/Pre%CC%81sentation.pdf

https://github.com/MaiCaz/BlackScholesProject

14. C# WinForm

https://github.com/romainmoyon/blackscholes

Python BS Indian Market

https://github.com/aeron7/nsepython

https://github.com/aeron7/blackscholes

8. C++

Option Pricing Program with C++
Binary option and Plain Vanila option.
Practicing Polymorphism

https://github.com/cocobolla/BlackScholes

9. C++

montecarlo, option pricing, PDF, CDF

https://github.com/AxelChedri/BlackScholes

10. C++

Interpolation, NDF,

https://github.com/Kinopiso/BlackScholes

11. C++

BS calcApp Win

The Black-Scholes model is a model that predicts prices for call and put options. It is based on a few factors such as stock price (S), volatility (V), strike price (X), time, and interest rate. The model is ideal for vanilla options pricing (standardized option without any extra features). What it lacks is: changing interest rate, stocks that pay dividends, transaction costs, and changes in volatility, market disruptions, etc.

https://github.com/akmay/blackscholesapp

12. С++

Parallel Parsec

https://github.com/ParaGroup/p3arsec

-> Parallel Framework with CAF

https://github.com/actor-framework/actor-framework

https://dl.acm.org/doi/10.1145/3132710

https://dl.acm.org/doi/pdf/10.1145/3132710

13. C++

BlackScholes pricing engine, written in OO C++ and used to price European vanilla options with Monte Carlo simulation

https://github.com/shreemoyee/BlackScholesEngine

14. C++

BlackScholesPAP

https://github.com/ggabimoran/BlackScholesPAP

15. С++

BS Options pricing, QT, GUI

https://github.com/meteorhead/BlackScholesPricing

16. C

https://github.com/akva2/IFEM-BlackScholes

17. C++

BSM

https://github.com/EricIsrael/BlackScholesEngine

18. C++

Black-Scholes Example of European Option Price in C++

This example show the use of the erfc error function implementing a Normal distribution CDF to calculate a Call and a Put (European option) using Black-Scholes formula in C++.

The GUID is written in MFC, but the relevant code that deals with the computation is decoupled from the UI and it can be examined by itself alone.

https://github.com/c-chavez/BlackScholesOptionPrice

19. C++

A basic program to calculate the Black-Scholes pricing model .

https://github.com/donovan680/Simple_BlackScholes

20. C++

I developed this library as a basic tool to start working on Quantitative Finance tasks.

The final instrument implemented is calibration of volatility smile (with Spline interpolation) but the library also includes Black/Black&Scholes formulae and implied volatility (spot).

The following examples are to show how to use the different functions.

https://github.com/arielNacamulli/BlackScholes_impliedVol

21. C++

https://github.com/rubensrech/blackscholes-rp-dmr

22. C++

https://github.com/ThadeuFerreira/BlackScholes_FPGA

23. C++

Calculator

https://github.com/kyleOckerlund/BlackScholesCalculator

24. C++

An defined implementation to compute american and european options using dynamic programming methods from the binomial option pricing model. An implementation for the black scholes model and associated greeks that takes in account for discounts.

https://github.com/jetpotion/BlackScholesAndBinomialOptions

25. C++

Usage of stochastic differential equations to solve applied problems of financial mathematics. Study of optimization methods of algorithms and their use in HPC. Generation of pseudorandom numerical sequences for Wiener process simulation. Automation of the collection of results, etc.

F:\DownLoads\Options\Doc

https://github.com/xnd-r/BlackScholesOptionPricingModel

26. C++

Programs for Quantitative Research and Decision Making

Matrix Manipulation Functions
Correlation, Covariance and Volatility of two assets
Garch Model of Asset Prices
Calculate the distance between two nodes
Find factorial using recursion
Generate Random Number from Specified Probability Distribution
Code to check if two matrices are multipliable
Schonhage-Strassen Algorithm - Multiply 2 numbers
Merton Jump Diffusion - See separate repository

https://github.com/QGoGithub/CplusplusResearch_Decision_Making

GS.Options

четверг, 7 октября 2021 г.

Greeks, Mathnet, github, Black, Scholes, Model

Black–Scholes model

pyOptionPricing, binomial, BlackScholes, garman_klass_vol, historical_vol

Financial Services Options Pricing using Blackscholes and Monte Carlo

Option_Pricing_Cpp BlackScholes, Greeks, Monte Carlo Pricing Engine

14. C++

BlackScholesPAP

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четверг, 7 октября 2021 г.

Greeks, Mathnet, github, Black, Scholes, Model

Black–Scholes model

pyOptionPricing, binomial, BlackScholes, garman_klass_vol, historical_vol

Financial Services Options Pricing using Blackscholes and Monte Carlo

Option_Pricing_Cpp BlackScholes, Greeks, Monte Carlo Pricing Engine

14. C++

BlackScholesPAP

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четверг, 7 октября 2021 г.