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This repository contains the files for the MA628 course project, focusing on financial data analysis and option pricing for a CRSP

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black-scholes black-scholes-merton call-option financial-derivatives monte-carlo-simulation option-pricing put-option

fdp-option-price's Introduction

Financial Data Analysis and Option Pricing

This project is done for the course MA628: Financial Derivative Pricing at the IIT Ropar under the supervision of Dr. Arun Kumar.

In this project, I performed option pricing of CRSP equity using standard pricing models such as Cox-Ross-Rubinstein (CRR), Monte-Carlo Simulation, and the Black-Scholes-Merton Pricing Model.

Overview

  • Preliminary Analysis: Analyzed daily equity data, including plotting prices and log-returns, and performing statistical tests for normality and independence.
  • Option Pricing: Calculated ITM European call and put options for maturity on May 31, 2024, and compared prices using different models.

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