The purpose of this package is to provide an object oriented option pricing and Greek calculation tool. All values except for the implied volatility are solved for using closed-form solutions. Along with the tools for options, a stock statistics tool will be included for calculating volatility and correlation. Tests of the attributes are included along with any graphs to aid with vizulation of the greeks and correlation of the underlying. Furthermore, the files include documentation for the derivations of the option pricing formula under Black-Scholes dynamics using Girsanov's Theorem and a Change of Measure as well as derivations for the traditional greeks. The formulas of non-traditional greeks are presented as well.
Ultimately, this is a project designed to test and implement the skills I have developed in a Master of Quantitative Finance and hope to learn more from creating and adding new implementations for different types of options.
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used to produce images