Projects

Built complete option pricing framework using Black–Scholes, Heston, Merton models

Simulated asset price with Monte Carlo (including stochastic volatility, jumps)

Fourier-based pricing with Fourier inversion and characteristic function

Compared models based on their ability to capture real market behaviors (skewness, kurtosis, volatility clustering)

Computed Greeks and performed sensitivity analysis with error evaluation

Calibrated models to market data and analyzed implied volatility surfaces

Extended the framework to price an exotic option (Asian option)