nealchau/crr
Python code for array based option pricing (Cox-Ross-Rubinstein crr.py), and simulation (qm.py for options, nlvar.py for markets).
scikit-learn: machine learning in Python
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Python code for array based option pricing (Cox-Ross-Rubinstein crr.py), and simulation (qm.py for options, nlvar.py for markets).
C++ examples for simulation with Brownian bridges (mcbm.C), and basic numerics (bs.C)
C++ example of binomial tree for option pricing.