This is my final project from my financial math class. The purpose of this project was to, given some market data, calculate the historical volatility and implied volatility of some call options which were provided. I developed this project in python using Jupiter notebooks.
The project was completed through a process of steps. The first step to completing the project was to calculate the historical volatility of the call options, from there, the historical volatility needs to be interpreted using a Black-Scholes model which I created from scratch. A black-Scholes model is a differential equation that is used to calculate implied volatility of call options which can be help create pricing for that option. Once the historical volatility was inputted into the Black-Scholes model, the implied volatility was gathered from which I generated the 3D mesh graphic associated with this project.
This project taught me a lot about how to research a topic and apply it to a topic. As a computer science major getting a minor in math, I was not familiar with anything related to finance or financial math. I had to spend a lot of time understanding the terminology, understanding the algorithms, and applying them together to create something unique.