CME HDD Option Pricing: Burn Analysis, OU Model, and Greeks
CME HDD Option Pricing: Burn Analysis, OU Model, and Greeks: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). Price a CME monthly HDD call option via (1) historical burn analysis, (2) Monte Carlo under an Ornstein-Uhlenbeck temperature model, and (3) compute…
The task
Price a CME monthly HDD call option via (1) historical burn analysis, (2) Monte Carlo under an Ornstein-Uhlenbeck temperature model, and (3) compute Greeks via bump-and-revalue. Input: raw GHCN-Daily weather data and a contract specification.
Part of codeslord/skilltrainbench-public.