Option Pricing & Risk Models
Black-Scholes, binomial trees, Monte Carlo simulations, and risk models for option pricing. Includes Greeks analysis and implied volatility surfaces.
Overview
This section covers implementation of options pricing and risk analysis:
| # | Notebook | Details | Implementation |
|---|---|---|---|
| 1 | Black-Scholes Option Pricing and Monte Carlo | Implements the classic Black-Scholes formula and Monte Carlo simulations for European options. | Docs |
| 2 | Black-Scholes Option Pricing with Comprehensive Greeks Analysis | Calculates and visualizes Delta, Gamma, Theta, Vega, and Rho. | Docs |
| 3 | Black-Scholes Option Pricing - Implied Volatility Surface Analysis | Builds and analyzes IV surfaces using interpolation. | Docs |
| 4 | Option Pricing Binomial Tree | American and European option pricing via Cox-Ross-Rubinstein binomial model. | Docs |
| 5 | Delta Hedging | Delta hedging strategies for European options, with detailed profit & loss (P&L) attribution and hedging error analysis | Docs |
Each notebook combines rigorous mathematical implementation with practical applications, featuring real market data integration and professional-grade visualizations.