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Asian, American, European and barrier option pricing

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Option_Pricing

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

Table of Contents

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.

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@ITNeri

License

MIT

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