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financial-derivative-pricing-goog's Introduction

Option price prediction using Black-Scholes, CRR and Simulation model

Option Pricing Parameters

Parameter Value
sigma (Historical volatility) 0.2873627770614688
S0 (Spot Price) 173.69000244140625
r (Risk-Free Rate) 0.052379999160766605
T (Time to Maturity) 0.09041095890410959
K_call (Strike Price - Call) 170
K_put (Strike Price - Put) 180.0
sigma_hat (Forecasted Volatility) 0.2899623910268287

Option Pricing Results

Model volatility type call put
Black-Scholes Historical 8.424078 9.194815
CRR Historical 8.420028 9.220725
Simulation Historical 8.417756 9.330980
Black-Scholes Forecasted 8.475106 9.246386
CRR Forecasted 8.472379 9.272269
Simulation Forecasted 8.402203 9.112247

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