Hedging-with-minimax.

Alexandra Rouhana's Final Year Project

what's the story ?

The main objective of this project was to implement a minimax algorithm mimicking the Black-Scholes hedging strategy. A game between the Investor and the Market was simulated. This game has been divided into multiple trading periods during which both players select in turn their future actions from a predefined set. For the Investor, finding the best move essentially comes to minimize his losses knowing that the adversary, the Market will want to maximize them.

What are the different files included in the repository?

• The file "minimax" contains the main code running the algorithm.
• The file "parameters" needs to be included in the same folder as the minimax code.
• The file "bs_closed_form" contains an implementation of the BS equations for EC options.

• The file "bs_closed_implied vol" contains an implementation of the Newton Algorithm to compute the implied volatility.

  How to run the code?

  To run this code you will need:

  • Python 2.7
  • The Python libraries numpy and scipy