Mean reverting jump diffusion Geometric Brownian Motion (GBM) (Poisson distribution) model is considered to describe the stochastic behavior of Henry Hub natural gas prices. Python programming language in Visual Studio Code enabled by Anaconda software is used to create a large sample size of 10,...
Geometric Brownian Motion The usual model for the time-evolution of an asset priceS(t)is given by the geometric Brownian motion, represented by the followingstochastic differential equation: dS(t)=μS(t)dt+σS(t)dB(t) Note that the coefficientsμandσ, representing thedriftandvolatilityof the...
Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied volatility, Greeks hedging - boyac/pyOptionPricing
Mark brownian motion test as xfail Feb 3, 2025 .codecov.yml Bump Python 3.13 Feb 4, 2025 .deepsource.toml Rm dependecy files Dec 18, 2021 .gitattributes Ignore notebooks as a language Nov 30, 2024 .gitignore Remove install from notebook and update dependencies ...