Implementation of https://arxiv.org/pdf/1605.07099.pdf for pricing European options, made for "callibration in finance" class. The code works well but there is no implied volatility surface just yet.
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Implementation of https://arxiv.org/pdf/1605.07099.pdf for pricing European options, made for "callibration in finance" class.
Dawid-Dopierala/Jacobi-stochastic-volatility-pricing
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Implementation of https://arxiv.org/pdf/1605.07099.pdf for pricing European options, made for "callibration in finance" class.
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