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