A project on Black-Scholes option pricing for European options.
The project is aimed at building intuition on Option Pricing and how it depends on various parameters. The plots come with interactive widgets.
This contains:
- Analytical solution of Black-Scholes equation and sensitivity analysis of Option price to different parameters.
- Option Greeks: Delta, Gamma, Vega, Theta
- Plots of how these Greeks for call options varies with Time-to-Maturity.
- Numerical Solution to Balck-Scholes
- Monte Carlo
- Finite Difference
- Interactive app made using Streamlit
The link to the app: https://share.streamlit.io/bikram-sahu/black-scholes/main/BSM_app.py