John-Curcio / econophysics

Monte carlo simulation to calculate call and put option prices for a particular stock. A homework assignment for my advanced comp physics class

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Pricing European Options through Monte Carlo

This was my submission for a project in my Advanced Computational Physics class (33-456).

example output

##Dependencies: python 3, numpy, matplotlib

Two files are included. simStock.py simulates paths of stock prices given some input parameters. simTwitter.py simulates paths of twitter shares. Both codes estimate optimal call and put prices.

To run the code, type the following into your command line:

python simTwitter.py

You'll be prompted by some input fields - please fill them out with numerical input.

A matplotlib window will pop up, displaying each simulated path. Close the window to see optimal call and put prices in the output.

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Monte carlo simulation to calculate call and put option prices for a particular stock. A homework assignment for my advanced comp physics class


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