Heston models: pricing, calibration, hedging.
Project description
hestonpy
hestonpy is now avalaible on PyPi !
pip install 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 [TO DO: calibration on iv surface + SVJ simulations/monte carlo]:
- path simulations
- pricing plain european vanilla options
- model calibration (smile) from yahoo finance and personnal data
- SVI implementation
- asset allocations (stochastic optimal control under Heston dynamics)
License
hestonpy was created by Théophile SCHMUTZ (@SarcasticMatrix). It is licensed under the terms of the MIT license.
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