Comparative Analysis of BSM and MMAR Models for SPX Option Pricing

1. Project Description

This repository contains the code and research paper for our capstone project in the MSc in Financial Engineering program at WorldQuant University. The project investigates the pricing accuracy and trading efficiency of the Black-Scholes-Merton (BSM) and Multifractal Model of Asset Returns (MMAR) applied to SPX options.

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2. Repository Structure

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├── code/                 # All scripts and notebooks for data analysis and modeling
├── paper/                # The research paper and supplementary materials
├── data/                 # Datasets used in the analysis
├── results/              # Outputs from the analysis (e.g., plots, metrics)
├── LICENSE               # License
└── README.md             # This file

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3. Installation and Setup Instructions

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4. Usage

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5. Authors

Ilmari Innanen ([email protected])

Adam Kavlak ([email protected])

Qingan Wang ([email protected])

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6. Research Paper

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8. Acknowledgements

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9. Additional Notes

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