Option-Pricing
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Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).
Option-Pricing
Pricing of options with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).
European Options
This folder contains notebooks with for the pricing of European options with the following models:
- Black-Scholes,
- Merton jump diffusion.
Black-Scholes
Pricing of European options according to the Black-Scholes model using the following methods:
- Analytical solution,
- Monte Carlo,
- Finite difference (explicit scheme),
- Fourier transform.
Merton Jump Diffusion
Pricing of European options according to the Merton jump diffusion model using the following methods:
- Analytical solution,
- Monte Carlo,
- Fourier transform.
Heston model
Pricing of European options according to the Heston stochastic volatility model using the following methods:
- Analytical solution
- Monte Carlo
Binomial model
Pricing of European options according to the binomial model (Cox, Ross, Rubinstein).
Exotics
Pricing of the following exotic options:
- Barrier (discrete and continuous monitoring, analytical and Monte Carlo).
Barrier options
Pricing of barrier options (discretely and continuously monitored) using the following methods:
- Analytical solution,
- Monte Carlo.
Implied Volatility
Computation of implied volatility for European options using the Newton-Raphson method and the Black-Scholes model. Plotting of the volatility smile.