The file Option_pricing_and_delta_hedging.ipynb
- Calculates call/put option prices using Black-Scholes formula
- Calculates the delta of the call/put option using the closed form solution and using the Monte Carlo simulations.
- Delta hedges the portfolio
- Performes Euler approximation of the stock price evolution.
Open the file and simply run the all at once or line by line to see the results.