Projects

Binomial Tree Option Pricing

The following cell is a calculator for the binomial tree option pricing, written by ChatGPT o1 in Python.

ChatGPT o1 and Zhiyu Fu

Box Spread

This project will guide you in creating a box spread using the put-call parity. We show that by combining different positions in highly nonlinear and risky options, we can…

Box Spread Solution

import numpy as np
import matplotlib.pyplot as plt
import statsmodels.api as sm
import pandas as pd

df = pd.read_csv("data/spx_option_data.csv")
# Filter the data for…