itneri / option_pricing

Asian, American, European and barrier option pricing

Option_Pricing

American, Asian, European and barrier option pricing based on BSM model or Monte Carlo simulation

Table of Contents

• Background
• Install
• Usage
• Reference List
• Maintainer
• License

Background

1. After inputting basic parameters (e.g. k, s, r, sig(vol), dt), this project can give users option price for different types of options. To build the models, I have quoted some theories and formulas, including Black Scholes Option Pricing Model and Monte Carlo Simulations

2. Now, the following types of options are available:
   (1) American option (2) Asian option (3) European option (4) Barrier option

Install

Python 3.X should be installed on your machine.

Usage

Import different files to run the code:

1. American option:
   (1) BSM Model with Least Squares Monte Carlo:
   <from American_option import american_option_lsm>

2. Asian option:
   (1) Monte Carlo simulation
   <from Asian_option import asian_option_mc>

3. European option:
   (1) BSM Model
   <from European_option import black_scholes_model>
   (2) Monte Carlo simulation
   <from European_option import monte_carlo_simulation>

4. Barrier option:
   (1)BSM Model
   <from barrier_option import bsm_barrier_option>
   (2) Monte Carlo simulation
   <from barrier_option import mc_barrier_option>

Reference list

GlassermanPaul. (2003). Monte Carlo Methods in Financial Engineering. New York: Springer.

Haug, E. G. (2018). The Complete Guide to Option Pricing Formulas (2nd ed.). Shanghai: Mc Graw Hill Education.

Hull, J. (2014). Options, Futures and Other Derivatives (9th ed.). Beijing: China Machine Press

Longstaff, F., Longstaff, F. A., Schwartz, E., & Schwartz, E. S. (2001). Valuing American options by simulation: a simple least-squares approach. Review of Financial Studies, 14(1). https://doi-org.uoelibrary.idm.oclc.org/10.1093/rfs/14.1.113

Xiao, Y.W. (2019). Essentials of Stochastic Calculus for Finance. Shanghai: Fudan University Press.

Zhang, G.P. (2014). Exotic Options: A Guide to Second Generation Options. Beijing: China Machine Press.

Maintainer

@ITNeri

License

MIT