This project encapsulated the basic understanding of how numerical designs can integrate into options pricing and valuation through close form solution using canonical Black Scholes model. The extension toward on volatility surface design further enhances the effectiveness in achieving sharper results with stronger support in findings.
To run this project, you will need to have the following environment variables to your .env file
** This table will be updated for future versions
| Package | Version | Dependencies |
|---|---|---|
python |
3.10 | - |
math |
latest | python@3.10 |
typing |
latest | python@3.10 |
scipy |
latest | python@3.10 |
To deploy this project run
python@3.10 main.py- Partial polymorphic design enhancements for different forms of exotic option types
- Segregated utilities functions from main
- Options agnostics testing and valuation
- Modular volatility instantiation
- Test Driven Development
Kenny's Profile -
Shawn's Profile -
Prasad's Profile -
Devansh's Profile -
Syai's Profile - [![linkedin] ()]
👩💻 Currently working on...
- Extending to more exotic options: Quanto/One Touch Barrier etc...
- Attaching API endpoint (Binance, Reuters, etc.)
- Possibility of a Futures profile in these projects
- Spot discretization with finite differencing in PDEs for certain BS models
👯♀️ I'm looking to collaborate on...
- Hedging Instruments to merge with pricing and valuation tools
⚡️ Fun fact...
- Didn't know this project was doable until now.
Python (No more no less, unless your software engineering skills are mind-blowingly 'powderful'.....)
Released under MIT by @DTMOS-SIM.