Numerical Option Pricers

Caden Lee

This is a general collection of basic numerical option pricers. This repository largely focuses on Monte Carlo methods to price basic options. You may also find in here a module which contains analytical pricers for European-styled options, created to validate the Monte Carlo pricing models.

The program is structured as such:

• A MonteCarloBase class under the MonteCarloModels module which contains methods to generate univariate and multivariate random numbers
• A __BaseVanillaOption__ class that inherits the MonteCarloBase parent class for Vanilla option pricing
• SpotOption and FuturesOption classes that inherit from __BaseVanillaOption__ class, for pricing of European- and American-styled vanilla options
  • SpotOption: based on the Black-Scholes model
  • FuturesOption: based on the Black76 model

This structure allows expansion into other exotic options (for example, Spread Options), by creating an exotic option class that inherits from the MonteCarloBase parent class.

The Least-Squared Monte Carlo method is applied for pricing American-Styled options.

This repository is currently a work-in-progress. The author shall not be made liable for any error found in the program should this be used for production.