A library for differentiable option pricing.
Project description
volax: A python library for differentiable option pricing.
Table of Contents
Introduction
This library implements option pricing models in a manner which allows for differentiation by JAX's AutoGrad functionality.
Installation
The easist way to install the library is via the pip package for your platform:
| Platform | Instructions |
|---|---|
| CPU | pip install -U volax |
| NVIDIA GPU w/CUDA12 | pip install -U "volax[cuda12]" |
| NVIDIA GPU w/CUDA13 | pip install -U "volax[cuda13]" |
The difference between each package is the version of JAX that will be installed.
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