Pricer d'options

Rédigé par Yacine - 22 janvier 2013

Quel financier n'a jamais entendu parler de l’équation de Black & Scholes ? Bouuuh! Qu'on lui jette la première pierre!
Cela fait quelques temps que je travaille sur ce petit bout de code qui permet d'utiliser l'équation fermée de Black & Scholes pour pricer des options européennes.
Je voulais développer un pricer d'options qui serait directement accessible sur mon blog et qui ferait les calculs en temps réel.
Voici le résultat : 

Pricer d'options Européennes


Prix du Sous-jacent

Prix d'exercice


Taux sans risque

Rendement du dividende

Maturité (En jours)











J'ai bien évidemment commencé par la base: Black & Scholes. Si jamais j'ai le temps, j'ajouterai d'autres modèles, ou méthodes de pricing. Pourquoi pas des simulations de Monte-Carlo par exemple!
C'est fait avec du Javascript. Je débute totalement avec ce langage, à vrai dire c'est pratiquement la première fois que je l'utilise réellement. Mais j'ai fait en sorte que le code soit optimisé et rapide.
Je peux, bien évidemment, fournir le code sur demande. Toute suggéstion est par ailleurs la bienvenue!

Simulation de Monte-Carlo


Voici un autre petit module qui permet de calculer le prix d'un call et d'un put européens, cette fois avec une méthode de simulation de Monte-Carlo. Ce module est là aussi fait en Javascript. Ce qui permet que le calcul soit fait en temps réel.




Pricer d'options Européennes - Simulation de Monte-Carlo 


Nombre de simulations

Nombre de discretisation

Prix du Sous-jacent

Prix d'exercice


Taux sans risque

Maturité (En jours)







Je peux fournir le code et des explications sur demande. A partir de 1000 simulations, les résultats commencent à être très proches des résultats théoriques de Black & Scholes.





... to be continued.



Faites virevolter cet article sur internet!


Auteur: Yacine

Ingénieur Financier et Ingénieur Informaticien.

Je suis passionné par la finance et l'économie le jour. Geek invétéré durant les heures les plus sombres, d'où le titre du blog : Le Shadow Blog.

Classé dans : Finance - Mots clés : Trading, option, Mathématiques, Finance, Call européen

16 commentaires


Chambault le vendredi 24 mai 2013 à 01:47 #1

Bonjour ,

Pourriez-vous m'orienter vers des articles et études traitant de l'écart ,entre la valeur théorique d'une option résultant de tel ou tel modéle ( Black&Scholes , binomial , ..etc ) , et sa valeur réelle ?

En vous remerciant par avance pour votre aide et informations sur le sujet , bien cordialement ,

Ph Chambault ,


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