This project is done for the course MA628: Financial Derivative Pricing at the IIT Ropar under the supervision of Dr. Arun Kumar.
In this project, I performed option pricing of CRSP equity using standard pricing models such as Cox-Ross-Rubinstein (CRR), Monte-Carlo Simulation, and the Black-Scholes-Merton Pricing Model.
- Preliminary Analysis: Analyzed daily equity data, including plotting prices and log-returns, and performing statistical tests for normality and independence.
- Option Pricing: Calculated ITM European call and put options for maturity on May 31, 2024, and compared prices using different models.