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LuisSouto / Jumps

Algorithms for pricing derivatives with jump models
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Usage Example #3

Open aymen-mouelhi opened 2 years ago

aymen-mouelhi commented 2 years ago

Hello, Thank you very much for sharing your work ! would it be possible to share a minimal notebook to know how to use the different models and benchmark them? Thanks!

LuisSouto commented 2 years ago

Hi Aymen,

Thanks a lot for getting in touch! I have added a shortened notebook version of the hestonjd_main.py script. It should be the minimal code that you need for pricing European and Bermudan put and call options.

If you are interested only in European options, you can safely remove the last block of code. There was also a typo which I have corrected. If you run the notebook as it is, you should get Figures 4.b, 5.b and 6.b of the paper mentioned in the Readme file.

I hope this helps!

Best wishes, Luis