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rmcrkd/rough_bergomi

A Python implementation of the rough Bergomi model.

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144
Forks
52
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Commits
7

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Latest capture 2026-08-19 03:02

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Topics

#implied-volatility #monte-carlo #option-pricing #rough-volatility

Metadata

Language
Jupyter Notebook
License
MIT
Default branch
master
Created
2017-08-06
First commit
2017-08-06
Last pushed
2018-09-17
GitHub updated
2026-06-21
Last synced
2026-08-19 03:02
Stack scanned
2026-08-19 03:02
Archived
No
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