Program Implementation of Black-Scholes Option Pricing Model for Theoretical Prices Calculation for Options

Student: Romanov Petr

Supervisor: Sergey Mikhailovich Salibekyan

Faculty: HSE Tikhonov Moscow Institute of Electronics and Mathematics (MIEM HSE)

Educational Programme: Information Science and Computation Technology (Bachelor)

Final Grade: 8

Year of Graduation: 2016

This work provides a research of option contracts pricing process and mathematical models for such process. Considered option properties and the main factors, which affect to the pricing process. In this work described the Black-Scholes option pricing model and analyzed the differences with other methods. There is a program implementation of the offering model. This program allows to calculate the theoretical prices of option contract by using exchange quotes and risk-free rate value.

Full text (added May 24, 2016)

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