European Option Pricing with Black-Scholes

This project implements the Black-Scholes model to price European call and put options and analyze sensitivity using the Greeks (Delta, Gamma, Vega).

Features

• Price European call and put options
• Visualize how price changes with strike price
• Analyze Delta and Vega as a function of stock price

How to Run

1. Clone repo and create virtual environment:

2. Install dependencies:

3. Run notebook:

📁 Project Structure

european-option-pricing/ ├── .venv/ # Python virtual environment ├── notebooks/ # Jupyter notebooks │ └── black_scholes_pricing.ipynb ├── outputs/ # Plots and generated output │ └── surfaces/ # Sensitivity plots, price graphs ├── test_imports.py # Simple file to test imports ├── utils/ # Custom pricing and Greeks code │ └── bs_functions.py ├── requirements.txt # Python packages list └── README.md # Project documentation

📈 Sample Output

👤 Author

Amanda Achiangia
BSc Applied Mathematics (Financial Mathematics), York University
Aspiring Quantitative Finance Professional
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