Bhooma+Shivakumar

This is Bhooma Shivakumar's Science Fair Project page.


 * Purpose**: The purpose of my project is to speed up the calculation involved in pricing American options without losing accuracy.
 * Procedure**: To make variations in the Black Scholes option pricing model using Binomial and Trinomial methods. Black Scholes method of options pricing is suitable for the European style options, where the options are exercised at expiry. The American style options can be exercised at any time before and on expiry. In this project, options prices are calculated at using Black Scholes method using Binomial and Trinomial models to improve the pricing accuracy and speed. For call options the system is normalized by the strike. A C++ and Java program is written, based on the above mathematical algorithm to show the results.


 * Conclusion**: As expected, applying Binomial and Trinomial models to the Black Scholes method did improve the pricing. But the there was no improvement in the speed of calculation.