Hedgehog v0.1.0
Hedgehog.jl v0.1.0
Initial release of Hedgehog.jl, a modular derivatives pricing library in Julia.
Features
- European and American options pricing
- Multiple pricing methods: analytical, binomial trees, Monte Carlo, Fourier
- Black-Scholes and Heston stochastic volatility models
- Greeks calculation via automatic differentiation, finite differences, and analytical formulas
- Calibration framework for volatility surfaces and model parameters
- SciML-inspired
solve(problem, method)interface
Installation
using Pkg
Pkg.add("Hedgehog")