Week 5: Getting Ready for my Practice Trial

Mar 24, 2019

Hello all blog readers,

This week I conceptually discussed Black-Scholes with my internal advisor. He explained to me how Black-Scholes was customized to fit in with the Physics heat equation and how numerical boundaries apply to each situation. Now that I have fully understood Black-Scholes, I will be conducting a practice experiment this following week. I am sure I will come across some issues and I want to troubleshoot them in this practice trial. I am very excited to almost begin my real experiment. In order to calculate implied volatility, I have created a spreadsheet tracking my 9 different sector ETFs and I have taken another spreadsheet from online which reverses Black-Scholes. One problem I am already facing is the complexity of when to track the option prices. In next week’s blog, I will go explain how my test run went. Thank you for following.

-Partha Vemulapalli

2 Replies to “Week 5: Getting Ready for my Practice Trial”

  1. Shreyas M. says:

    Really interesting to learn more about Black-Scholes!!

  2. Rohit P. says:

    Math for Black-Scholes seems to be on another level. Good stuff!

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