khashayarrahimi / option-pricing Goto Github PK

Financial derivatives form a significant part of the trading world, with options being one of the most commonly traded types. In this repository, I have endeavored to investigate Persian options on the Imami Gold Coin.

There is a rich array of computational and theoretical methods and approaches for pricing and trading options. I have attempted to work on some of these methods and approaches in this repository.

I have created a Python file containing the most common stochastic calculus models for pricing options. Additionally, I have crawled the following websites to gather data:

https://www.tgju.org/ (Historical Imami Gold Coin Price)

https://www.ime.co.ir/ (Historical Imami Gold Coin Options Data)

Furthermore, I have created a notebook named "ML and Statistical Models for Persian Option Trading". There, I used Machine Learning, Deep Learning, and Statistical Models for forecasting the price in the future (from the current time to the option's expiration date). After backtesting all of them, I selected the best model and, based on its forecasting, traded options to calculate the performance of this approach.

Future Works:

1. I will use the above methods to estimate the parameters in stochastic calculus models, such as volatility. By replacing them with those models, I will attempt to price options and finally backtest to measure the performance of this method.
2. I will attempt to use informative features of options to apply learning and statistical models directly to the options data and investigate their performance.
3. plan to combine all of the above approaches to find a robust and high-performance solution for pricing and trading Persian Financial Options.