📈 Black-Scholes Option Pricer & Greeks Dashboard

This project implements a Black-Scholes option pricing engine from scratch and provides an interactive dashboard to visualize the Greeks of an option using historical stock data.

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🔧 Features

• 📊 Pulls historical stock price data using yfinance

• 🧮 Calculates 20-day rolling volatility as an input to the pricing model

• 💰 Implements the Black-Scholes formula for European call and put options

• ⚙️ Computes option Greeks using finite difference methods:

  • Delta
  • Gamma
  • Theta
  • Vega

• 🧠 Includes interactive dashboard widgets to adjust parameters in real time

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📌 Technologies Used

• Python
• Jupyter Notebook
• pandas, numpy, scipy
• yfinance
• ipywidgets for dashboard interactivity
• matplotlib for visualization

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📈 Methodology

1. Download Historical Prices:

   • Stock data fetched from Yahoo Finance
   • Only Close prices used to estimate volatility

2. Estimate Volatility:

   • 20-day log return rolling standard deviation
   • Annualized using √252

3. Black-Scholes Pricer:

   • Built from scratch (not using scipy.stats pricing shortcuts)
   • Handles both calls and puts

4. Greeks Calculation:

   • Approximated using finite difference bumps in inputs
   • Change each variable ±0.01 to compute sensitivities

5. Interactive Dashboard:

   • Dropdowns and sliders to simulate different market conditions
   • Live calculations shown for each Greek

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🧠 Learning Goals

• Deep understanding of how Black-Scholes works
• Hands-on calculation of option prices and Greeks
• Practice with financial data pipelines and interactivity

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🧮 Future Enhancements

• Real-time pricing with minute-level data
• Add implied volatility visualization
• Integrate American option logic (e.g., binomial tree)
• Portfolio-level dashboard with multiple strikes