financialkit.stochastic_volatility#
Cox’s CEV and Dupire local volatility, Hull-White and Heston stochastic volatility, Merton, variance gamma, Kou and Bates jumps, Carr-Madan FFT, Lewis and COS pricing, SABR, SVI and Lee’s moment formula, and full-truncation and QE simulation.
History
The foundational breakthroughs behind this subpackage, linked to the implementation.
Examples
Runnable tutorials and the full example gallery.
API reference
Every public class and function.