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Project description

A collection of function to valuate options, greeks, volatility, and other parameters used by traders. Vanna-Volga, realized and implied volatility, skewness, and kurtosis, volatility smile scenarios, P&L shape, and other techniques are included.

Project Info

Tags: volatillity, option, vanna-volga

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Registered: 2014-01-21 19:24
Activity Ranking: 0
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Vienna University of Economics and Business University of Wisconsin - Madison Powered By FusionForge