Skip to content
#

barone-adesi-whaley

Star

Here are 3 public repositories matching this topic...

Language: All
Filter by language
All 3 C++ 1 Jupyter Notebook 1 Python 1

Idriss-Afra / American-Options-Pricing-Analytics

Star 3

This project aims to price American options using the Binomial model, the Barone-Adesi & Whaley approximation, and the Least-Squares MC method.

python jupyter-notebook derivatives monte-carlo-simulation numerical-methods american-options variance-reduction black-scholes least-square-regression binomial-tree derivatives-pricing control-variates options-pricing longstaff-schwartz least-squares-monte-carlo options-calculator quant-finance barone-adesi-whaley
  • Updated Mar 31, 2026
  • Jupyter Notebook

hedge0 / OptionsKillerBotCPP

Star 0

A C++-based bot developed to calculate implied volatility on option prices using the Barone-Adesi Whaley model and perform custom interpolations on the results. Built upon my original Python implementation, this version significantly enhances the performance of both the pricing calculations and interpolation processes.

performance options cpp interpolation option-pricing black-scholes interpolation-methods svi black-scholes-model radical-basis-function barone-adesi-whaley
  • Updated Oct 22, 2024
  • C++

hedge0 / OptionsPricerLib

Star 0

OptionsPricerLib is a Python library for pricing financial options using various european and american models. The library provides options pricing, implied volatility calculation, and the Greeks for options, covering models such as Barone-Adesi Whaley, Black-Scholes, Leisen-Reimer, Jarrow-Rudd, and Cox-Ross-Rubinstein.

python options numba iv black-scholes implied-volatility binomial-tree greeks binomial-trees jarrow-rudd-binomial-tree options-pricing black-scholes-merton greek-calculations cox-ross-rubenstein black-scholes-model jarrow-rudd black-scholes-equation black-scholes-model-application barone-adesi-whaley leison-reimer
  • Updated Nov 5, 2024
  • Python

Improve this page

Add a description, image, and links to the barone-adesi-whaley topic page so that developers can more easily learn about it.

Curate this topic

Add this topic to your repo

To associate your repository with the barone-adesi-whaley topic, visit your repo's landing page and select "manage topics."

Learn more