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zugzvangg/crypto-calibration

Stochastic volatility models and their application to Deribit crypro-options exchange

deribit-exchangeheston-modeloptions-pricingsabr-modelstochastic-volatility-models

Implementation and research of stochastic volatility models on crypto-exchange Deribit data

Languages

Jupyter Notebook98.3%Python1.7%

Contributors

ZU
Apache License 2.0
Created October 19, 2022
Updated March 15, 2026
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