This repository contains six reports covering various topics related to financial mathematics. The reports were written in Spring 2023 for the course Stochastic Methods for Finance at the University of Padova (academic year 2022-2023).
The reports delve into the following topics:
- Pricing a Call Option using the Binomial Model, specifically analyzing real data from the Walt Disney Company.
- Recovering Implicit Dividends from Option Prices using Call-Put parity and the Box Spread Strategy for International Business Machine (IBM) data.
- Computing Option Prices using Discrete and Continuous Time Models. This report compares the results provided by the binomial model, the Leisen-Reimer model and the Black-Scholes model.
- Exploring the dependencies of Greek letters on various parameters, including stock value, maturity time, volatility and the rate of dividend yield.
- Implied volatility smile, swek and a Greek letters study on AirBNB Inc. data.
- Monte Carlo simulations on traditional (Vanilla) options and exotic, path-dependent options such as Asian, Lookback and Barrier options.
In addition, each report includes an Excel file with macro activation. These Excel files contain VBA scripts that were used for data analysis.