Compound Options Pricing with Geske Formula
Compound Options Pricing with Geske Formula: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). This task requires implementing the Geske compound option pricing formula to price compound call-on-call and put-on-put options. You will validate the results using…
The task
This task requires implementing the Geske compound option pricing formula to price compound call-on-call and put-on-put options. You will validate the results using compound put-call parity relationships and Monte Carlo simulation on SPY historical data.
Part of codeslord/skilltrainbench-public.