Option Pricing Package

Exploring Option Pricing Methods

Finance
Python
Options
Published

July 18, 2025

Goal

  • Analyze how options and their Greeks are priced by the market, including the mathematical principles behind them.
  • Explore the impact of inputs on pricing, focusing on volatility calculations and comparing historic versus implied volatility.

Description

  • Use the appropriate pricing methods for options, considering factors such as American vs. European styles, dividends, implied volatility, and interest rates.
  • Developed programs to implement and compare various option pricing methods:
    • Black-Scholes: For Greeks and implied volatility calculations.
    • Numerical Methods: Including Binomial Tree and Monte Carlo Simulation.
    • Approximations: Such as Bjerksund-Stensland and Barone-Adesi-Whaley models.
  • Conducted volatility calibration and generated volatility surfaces to view market dynamics.

Progress

Using in CD Project: Click Here