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,...
In this article, we learned how to build a simulation model for stock prices using Geometric Brownian Motion in discrete-time context. Below is the full code. When you put your authorization token taken from Quandl after your registration and install the required Python packages, you can u...
Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied volatility, Greeks hedging - boyac/pyOptionPricing