FX Options Pricing & Volatility Modeling

FX option pricing, volatility smile and zero-cost collars, following Bloomberg terminal conventions.

Derivatives · Personal project

Description

FX option pricing with the Garman–Kohlhagen model, volatility smile modeling and structuring of zero-cost collar strategies, replicating Bloomberg terminal (OVML) conventions, including spot and forward delta calculations.

Skills

FX option pricing, volatility modeling, hedge structuring.

Tools

Python, Excel.

Models

Garman–Kohlhagen, volatility smile, zero-cost collar, spot and forward delta.

Educational projects. Any results are hypothetical, based on historical or simulated data, and are not indicative of future returns. Nothing on these pages constitutes investment advice or a solicitation to invest.

Next project: Quantitative Trading Curriculum

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