Heston models: pricing, calibration, hedging.
Project description
hestonpy
The hestonpy Python package implements the Heston and Black-Scholes models for option pricing and portfolio management. The package also includes functionality for optimal portfolio allocation using stochastic control techniques.
Covered topics by the hestonpy package:
- path simulations
- pricing plain european vanilla options
- asset allocations (stochastic optimal control under Heston dynamics)
- [TO DO] model calibration (smile, term structure) from yahoo finance and personnal data
Installation
hestonpy is now avalaible on PyPi !
pip install hestonpy
Contributing
Interested in contributing? Check out the contributing guidelines. Please note that this project is released with a Code of Conduct. By contributing to this project, you agree to abide by its terms.
License
hestonpy was created by SarcasticMatrix. It is licensed under the terms of the MIT license.
Credits
hestonpy was created with cookiecutter and the py-pkgs-cookiecutter template.
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