In this project we are applying different machine learning methods to estimate Options contracts market prices based on various features. We compare our models' errors to that of the Black-Scholes model as a baseline.
We use 3 different ML models, namely, LightGBM, Neural Networks, and Support Vector Machines.
For data, the historical data of 98 options contarcs for past 3 years in Iran's Options market were used.
the project codeis in the ml_option_pricing.ipynb notebook