This project provides a comprehensive toolkit for implementing and analyzing option pricing models, including the Black-Scholes model, Monte Carlo simulation, and the Binomial tree method. These models are essential for understanding and calculating the fair value of options in financial markets.
Options are financial derivatives that give the holder the right, but not the obligation, to buy or sell an underlying asset at a specified price before or at a specified date. This project aims to provide a toolkit for option pricing, using well-known models such as the Black-Scholes model, Monte Carlo simulation, and the Binomial tree method.
- Black-Scholes Model: Analytical pricing for European options.
- Monte Carlo Simulation: A stochastic method for pricing options, especially useful for path-dependent options.
- Binomial Tree Method: A discrete-time model for pricing American and European options.
- Heatmap Visualization: Display the effects of varying parameters on option prices.
- Greek Calculations: Compute the Greeks (Delta, Gamma, Theta, Vega, Rho) for risk management.