GitHub repository: mcurcio5/OOTM-Option-Pricing-with-Power-Laws-and-News
Primary language: Jupyter Notebook
Created: 2020-08-06T22:46:53Z
Description: Uses math heuristics and formulas published in Nassim Taleb's Statistical Consequences of Fat Tails book to price OOTM options. Tries to predict whether options will be valuable based on sentiment analysis in news.