https://github.com/chicago-joe/Option-Pricing-via-Levy-Models-in-R

using the Inverse-Transform method to speed up options pricing simulations in R
https://github.com/chicago-joe/Option-Pricing-via-Levy-Models-in-R

algorithmic-trading computational-finance european-options financial-engineering levy-models levy-process levy-processes mathematical-finance mathematical-modelling monte-carlo-simulation monte-carlo-simulations option-pricing options-trading r r-language r-programming

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using the Inverse-Transform method to speed up options pricing simulations in R

• Host: GitHub
• URL: https://github.com/chicago-joe/Option-Pricing-via-Levy-Models-in-R
• Owner: chicago-joe
• License: mit
• Created: 2019-04-06T03:09:32.000Z (almost 6 years ago)
• Default Branch: master
• Last Pushed: 2019-09-17T17:06:56.000Z (over 5 years ago)
• Last Synced: 2024-08-22T02:43:43.671Z (5 months ago)
• Topics: algorithmic-trading, computational-finance, european-options, financial-engineering, levy-models, levy-process, levy-processes, mathematical-finance, mathematical-modelling, monte-carlo-simulation, monte-carlo-simulations, option-pricing, options-trading, r, r-language, r-programming
• Language: R
• Homepage:
• Size: 28.2 MB
• Stars: 27
• Watchers: 2
• Forks: 11
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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• jimsghstars - chicago-joe/Option-Pricing-via-Levy-Models-in-R - using the Inverse-Transform method to speed up options pricing simulations in R (R)

README

        
# R-programming: Options Pricing in Discrete Levy Models 

#### Algorithms: NIG process simulation vs the Inverse-Transform Method

A lecture on drastically improving computation speeds by simulating tabulated probabilities via an Inverse-Transform







##### slide 1

![link](https://raw.githubusercontent.com/chicago-joe/Option-Pricing-via-Levy-Models/master/documentation/misc/Slide1.PNG)

##### slide 2

![link](https://raw.githubusercontent.com/chicago-joe/Option-Pricing-via-Levy-Models/master/documentation/misc/Slide2.PNG)

##### slide 3  

![link](https://raw.githubusercontent.com/chicago-joe/Option-Pricing-via-Levy-Models/master/documentation/misc/Slide3.PNG)

##### slide 4  

![link](https://raw.githubusercontent.com/chicago-joe/Option-Pricing-via-Levy-Models/master/documentation/misc/Slide4.PNG)

##### slide 5  

![link](https://raw.githubusercontent.com/chicago-joe/Option-Pricing-via-Levy-Models/master/documentation/misc/Slide5.PNG)

##### slide 6  

![link](https://raw.githubusercontent.com/chicago-joe/Option-Pricing-via-Levy-Models/master/documentation/misc/Slide6.PNG)

##### slide 7  

![link](https://raw.githubusercontent.com/chicago-joe/Option-Pricing-via-Levy-Models/master/documentation/misc/Slide7.PNG)