/CSCI145_Option_Pricing

Primary LanguageJupyter Notebook

CSCI145 Final Project - Juan Diego Herrerra and Seungho (Samuel) Lee

Project Link: https://samuellee19.github.io/CSCI145_Option_Pricing/

The followings are the list of files used in this project.

Data

The following data were collected through following methods: Simulation (provided by Professor Das), Bloomberg Query (UKX Option), and Web Scraping (S&P500).

Files:

  1. DS_data.zip: Zipped Black-Scholes Training Data
  2. BS_training.csv: Unzipped Black-Scholes Training Data
  3. SNP.csv: Final Web-scraped S&P500 Options Data
  4. UKX_Calls.csv: Final UKX Option Bloomberg Query Data

Models

The following data were trained from following data: Simulation Data (provided by Professor Das), Bloomberg Query Data (UKX Option), and Web Scraped Data (S&P500).

Files:

  1. BS_model.sav: MLP Model Trained on Simulation Data
  2. BS_ukx_model.sav: MLP Model Trained on UKX Option Data
  3. BS_final_model.sav: Final MLP Model Trained on Compiled Real Data (UKX Option and S&P 500)

We would like to thank Professor Das for getting back to us quickly and providing us his data. Also, Please check this repository to learn more about option scraper that we developed.