CS3110-Options-Pricing

Options Pricing model in OCaml for CS 3110 Spring 2022.

Contributors

1. Arthur Wayne (asw263)
2. Advay Koranne (ak845)
3. Maxwell Zweig (maz72)
4. Jack Young (jry28)

Overview:

Quantitative finance is - in essence - the art of applying mathematical models to financial markets. Jane Street (one of the world’s leading trading firms) is known to be the only trading firm to use OCaml and they have not only provided numerous open source projects but have also released specific information about how to use OCaml in the trading industry that we have taken inspiration from. Further, Cornell PhD Yaron Minsky has written numerous articles such as using OCaml in the financial industry that Cornell Quant Fund will use to leverage OCaml’s power to become the world’s second trading organization to utilize OCaml.

See the following link for the overview of our project: https://github.com/advayk/CS3110-Options-Pricing/blob/main/Documents/ProjectOverview.pdf

Implementations:

We intend to build an options pricing model using both the Binomial Options Pricing model as well as the Black-Scholes model. The key features will be:

1. An implementation of the Black-Scholes model.
2. An implementation of the Binomial Options Pricing model. 3. Monte-Carlo methods for option pricing.
3. The ability to validate against historical options data.
4. A visualizer to see the payoff curves (if time permits).
5. A maths library that will be yfinance for OCaml.

Resources:

1. https://www.timeanddate.com/date/duration.html?y1=2022&m1=1&d1=1&y2=2022&m2=2&d2=6
2. https://github.com/jonnydubowsky/owl-1
3. https://goodcalculators.com/black-scholes-calculator/