European Option Pricing under Black-Scholes
Nov 30, 2020
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1 min read
Aug 2020 – Nov 2020 · MS Project
- Analysed risk-neutral valuation and delta-hedging of vanilla and binary European options via the Black-Scholes framework, including option Greeks and implied volatility.
- Simulated a volatility surface for Microsoft stock in R.
Authors
Hi! I am Porush Yadav. I have graduated from IIT Kanpur with a BS-MS Dual Degree in Mathematics and Scientific Computing. I have Worked at Axis Bank on an image recognition system that leverages neural networks to automate document classification and enhance data extraction. Before that, I interned at Samsung R&D Institute India, eJET systems, and EZ Technologies, where I worked on machine learning applications in signal data compression, recommendation systems, classification systems, and image recognition.
I look forward to leveraging AI and ML expertise to develop impactful solutions that can solve real-life problems.