trinomial-tree

Lattice/tree pricing methods for European and American options

Java quantitative finance library for option pricing, Greeks and volatility estimation.

Option Pricing Web App: Calculate European/American options using Black-Scholes, Binomial, and Trinomial models. Convergence Comparsion.

Dual Python and VBA implementation of a recombining trinomial tree for pricing European and American options with discrete dividends. Features a Streamlit app and Excel interface for Greeks calculation, convergence analysis, and Black-Scholes benchmarking. Optimized with node pruning for efficiency and date-tolerant logic.

C# trinomial tree options pricer supporting European and American contracts, with lattice-based valuation and Greeks computation.

A comprehensive Python framework for financial derivative valuation using numerical methods. This project implements Binomial and Trinomial trees to price European and American options, analyzes sensitivities (Greeks), and simulates dynamic delta hedging strategies.

Do numerical schemes converge at the rate theory promises? Black-Scholes by lattice, finite difference, finite element and Monte Carlo in C++20, with every order measured - including the Crank-Nicolson order loss that Rannacher start-up fixes.

options pricing engine

Bermudan swaptions on a Hull–White trinomial tree and NIG calibration on EURO STOXX 50 via Lewis/FFT — Financial Engineering course, PoliMi

Options pricing engine based on a trinomial tree, supporting European and American contracts with model calibration and Greeks computation. Pricer Website :

Pricing Parisian barrier options with lattice, Monte Carlo and sequential Monte Carlo methods under Black-Scholes dynamics.