pyfeng
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Contents:
Black-Scholes-Merton Model
Constant Elasticity of Variance (CEV) Model
Bachelier (Normal) Model
Hyperbolic Normal Stochastic Volatility (NSVh) Model
Stochastic-Alpha-Beta-Rho (SABR) Model
SABR Model with Integration
Stochastic volatility with Fourier inversion
Gamma distribution-related Models
Multiasset Models
Multiasset Monte-Carlo Models
Asset Allocation Models
pyfeng
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Overview: module code
All modules for which code is available
builtins
pyfeng.assetalloc
pyfeng.bsm
pyfeng.cev
pyfeng.gamma
pyfeng.multiasset
pyfeng.multiasset_mc
pyfeng.norm
pyfeng.nsvh
pyfeng.opt_abc
pyfeng.opt_smile_abc
pyfeng.sabr
pyfeng.sabr_int
pyfeng.sv_abc
pyfeng.sv_fft
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