Hi everyone,

Today, we want to highlight the great work done by Jason Bohne on option pricing models. Jason's undergraduate thesis paper starts with a thorough review of options and pricing models. He then analyzes the error of several different option pricing models using LEAN. After testing across multiple market regimes, the findings show "in both an in-sample and out-of-sample data set that the pricing methods are not significantly different from one another with respect to the accuracy of calculating the theoretical value" (p. 25). To access Jason's paper, presentation files, and QuantConnect project files, refer to this GitHub repo.

Derek Melchin