jayeshk10 / option-pricing-models-us-eu

European and American option pricing models

American and European Option Pricing Models

This repository contains Jupyter notebooks that demonstrate the pricing of American and European options using different financial models.

Description

The project includes two main Jupyter notebooks:

• European_Option_Pricing_Model.ipynb: Illustrates the process of pricing European options using the Black-Scholes model and Monte Carlo simulations.
• American_Option_Pricing_Model.ipynb: Demonstrates the pricing of American options using the Binomial model and Least Squares Monte Carlo (LSMC) simulations.

Installation

To run these notebooks, you need to have Python installed, preferably through Anaconda to manage packages and environments. You also need to install the following packages:

pip install numpy pandas matplotlib scipy yfinance

Usage

You can clone this repository and run the notebooks in Jupyter Lab or Jupyter Notebook. Ensure you have an internet connection to fetch data from Yahoo Finance.

git clone https://github.com/JayeshK10/option-pricing-models-US-EU.git
cd option-pricing-models-US+EU
jupyter lab