This project aim to compare different pricing methodologies to estimate the price of vanilla options. It takes as input the name of a stock as well as an evaluation date and an expiration date for the options. It then does the following:
- Download the data relative to all vanilla option of the specified underlying stock expiring at the expiration date from Yahoo Finance and cach them on the system.
- Compute the prices with different pricing methodologies.
- Create a pdf file containing the figures of the computed prices with the different methodologies and the actual options prices.
Important: pdflatex is necessary to get a the pdf output of the program! For the libraries, see the requirements.txt file.
- Black and Scholes vanilla option pricing
- Cox-Rox-Rubinstein vanilla option pricing
- Fourier transformation option pricing
- Fast Fourier transformation option pricing
- Merton jump option pricing
- Heston option pricing
- Latex output
To run the program, you can simply set the appropriate symbol as well as the current date with the expiration date of interest in the method: OptionAnalysis(underlying='AAPL', expiration_date='2023-05-26', evaluation_date='2023-05-22').complete_analysis
OptionPricing allow you to change the underlying stock as well as the expiration date (as long as it is available).