1.BSM.py
Implementation of Black-Scholes-Merton modelas a function of current stock price S0, volatility time to expiration T−t (in years), strike price K and short-term interest rate r (annual).
2.EuroOpt.py
Constructed a binomial tree model to calculate the values of the European Call option and one for the European Put option.
3.American.py
Implemented a binomial tree to calculate the American option,both Call and Put.
4. Implied_VOT.py
Implemented the Bisection method to find the root of arbitrary functions. Applied this method to calculate the implied volatility.
5.Comp.py
Comparison of BSM, EuroOPT and American
6.AVM + DELTA.py
Monte Carlo Valuation of a European Option in a Black-Scholes World With implementation of Antithetic and Delta-based control variate method (10/31/2016)
7. AVM.py
Monte Carlo Valuation of a European Option in a Black-Scholes World With implementation of Antithetic variates method (10/31/2016)
8.DELTA.py
Monte Carlo Valuation of a European Option in a Black-Scholes World With implementation of Delta-based control variate method (10/31/2016)
9.EFD.py
Explicit Finite Difference method to calculate values for Call and Put European options.
10.ImpNEW.py
Implicit Finite Difference method to calculate values for Call and Put European options.
11.Reg_Monte.py
Monte Carlo Valuation of a European Option in a Black-Scholes World
12.Trinomial.py
Trinomial tree to calculate values for Call and Put European options.
13.Impl_Trinomial_Tree.py
Constructed a four time step implied trinomial tree, and computed the state prices and the implied transition probabilities at each node.
14.Amer_Up&Out_put.py
Priced an American Up-and-Out put option using implied trinomial tree
15.Black's_Euro_call.py
Using Black's model: Priced a two year European call option with strike 0.8 on a seven-year pure discount bond.
16.Black's_Interest_Rate_Cap.py
Using Black's model: Priced an interest rate cap at 4.7%. Assume that the cap is for a two year period, the reset frequency is four months. Assuming that the volatility of the forward rate is 9%. The principal of the swap is 1 million.
17.Black's_swap.py
Using Black's model: Priced a one year option which exercise into a new two year semi-annual payer swap. The strike price of the option is 6% and the forward swap rate volatility is 10%
18.Vasicek.py
Using Vasicek model priced a two-year pure discount bond and a two-year European call option on a six-year pure discount bond.
19.CIR.py
Using CIR model priced a two-year pure discount bond and a two-year European call option on a six-year pure discount bond
20.Ho-Lee.py
Using Ho-Lee model priced a two-year pure discount bond and a two-year European call option on a six-year pure discount bond
21.Hull-White.py
Using Hull-White model priced a two-year pure discount bond and a two-year European call option on a six-year pure discount bond
22.blackliter.R
Implementation of Black–Litterman model