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Option Pricing:
Black-Scholes Model
The project calculates the price of European options before their expiry date using the Black-Scholes Model which is a differential equation that takes the following parameters into account:
- Risk-free rate
- Underlying security price
- Strike price
- Time before the expiry
- Standard deviation
Importing the required libraries:
The function I defined to calculate the price of the option based on the parameters written in red:
Final output where I obtain the price of the option:
Parameters could be changed as desired
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