abaquant.derivatives.simulation

Import path: abaquant.derivatives.simulation

Domain: Derivative pricing, simulation, calibration, diagnostics, and strategy analysis.

Package purpose

Path and return simulation routines.

How to use this package

Defines the package facade and supported import surface. Use this package when valuing contingent claims, calculating Greeks, building option strategies, simulating stochastic processes, or fitting models to market observations.

Package reference

Path and return simulation routines.

Purpose

The package exposes geometric-Brownian-motion, Merton jump-diffusion, and Levy-style simulation helpers.

Conventions

Times are years, rates and volatilities are decimal annual quantities, and seed arguments control pseudo-random reproducibility.

References

[ 1 ] Glasserman, P. (2004), Monte Carlo Methods in Financial Mathematics. [ 2 ] Merton, R. C. (1976), “Option Pricing When Underlying Stock Returns Are Discontinuous”.

Modules

• abaquant.derivatives.simulation.gbm
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference
• abaquant.derivatives.simulation.levy
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference
• abaquant.derivatives.simulation.merton
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference