description Project Overview

Led development of high risk protection options trading algorithm using a combination of Crank-Nicolson's Finite Difference solution path, Cox-Ross-Rubinstein Binomial Tree solution path, & Barone-Adesi Whaley solution path to develop a robust decision-making engine to sell or exercise option contracts to optimize for profitability. I created a way to provide a solution to solve for likely payoff to help with training predictive neural networks in the future to optimize algorithm's weights balancing riskiness & profitability.

Full documentation of version 1 is attached. Although theoretically sound, behavior was extremely risk-averse, so much so that I deem it practically useless given volatility and behavior of today's market not following traditional random motion as described by Brownian motion theory & Stochastic methodologies.