A regularity structure for finance.

This is some code accompanying the paper:

Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.

The repository contains the two script files

• script_rates_I.py
• script_rate_optionprice.py

which were used in the paper to do the respective computations and plot the results. The other files are auxiliary code that are called by the scripts as needed.

Requirements:

• Python 3

License:

This code is released under the MIT license for non-commercial use only. For other types of license please contact me.