evanafonseka / tesla-derivatives-pricing

Predicting the future prices of options in Tesla

Tesla-Derivatives-Pricing

Crazy to think that the Black Scholes paper was published in 1973 and is still a core model taught by Finance professors across the world.

Methodology

• Used data from yfinance i.e. the option chain .csv file they publish
• Calculated T with numpy and kept it at business days i.e. 252, moreover if T = 0, I changed the figure to 0.000001 in order to get an output
• Calculated the Euro Call price using the Black-Scholes formula with pandas (if there are any errors please let me know)
• Used options that were currently "in the money"
• Created a free account with Azure ML and was able to run an AutoML regression experiment that tried various different algorithms that predict the price of the option

Findings

What more work is there?

• Need to look at rewriting the Longstaff Schwartz in Pandas (might need to spin up a high spec vm)
• Run another set of experiments using other extraneous variables to predict option price