PrototypeCommon
rmcrkd/rough_bergomi
A Python implementation of the rough Bergomi model.
- Owner
- rmcrkd (personal account)
- Stars
- Stars: 143
- Forks
- Forks: 52
- Language
- Jupyter Notebook
- License
- MIT
- Created
- 2017
- Topics
- rough-volatilityimplied-volatilityoption-pricingmonte-carlo
- Tier
- Prototype (100 to 249 ★) What this tier means
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