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Design of a pedagogical tool in Python to price and hedge European options

Vanderhulst, Michel
(2021)

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VANDERHULST_36701600_2021.pdf
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Details

Supervisors
Frédéric Vrins
Faculty
Louvain School of Management
Degree label
Master [120] : ingénieur de gestion, à finalité spécialisée
Abstract
Pricing and hedging options are concepts that are difficult to grasp for many students. The fact that "the price" means the cost of setting-up a self-financing trading strategy is difficult to visualize for students and manual computations are both unpractical and very limiting. In this thesis, we develop and implement Python web applications to price and hedge options. Based on user-chosen inputs, the applications output the delta-hedge strategies in plots and allow data exportation. In their development, robust code architecture and strong pedagogical explanations were emphasized. The web applications can be found at: https://hedging-derivatives.herokuapp.com This work main deliverable is the web applications. The present document's purpose is to support them: its contents are meant to be used when users are in need of supplementary mathematical details or explanations, or simply if they are interested in the apps' development and implementation.