Project 3 for Financial Engineering for Data Scientists course, Spring 2021, Seoul National University.
- Drawing implied volatility curve and implied volatility surface, implemented in Python
- SPX call premiums are used
- Need Gurobi library to run
python 양정우hw103.py
The following graphs pop up:
- Penalized B-spline call premium curve
- Penalized B-spline implied volatility curve
- B-spline call premium surface
- B-spline implied volatility surface
Fore more details, reference 양정우hw103.pdf