Volatility Surface (European Options)

This repository contains a Python implementation for generating and interpolating an implied volatility (IV) surface using the Black-Scholes model.

✈️Overview

• Computes European call option prices using the Black-Scholes formula.
• Calculates implied volatility from option prices.
• Creates a synthetic volatility surface and interpolates it for arbitrary strikes and maturities.
• Visualizes the resulting 3D implied volatility surface.

---

⛏️Features

• BlackScholes pricing: bs_call_price(S, K, T, r, sigma)
• Implied volatility calculation implied_vol(price, S, K, T, r)
• Synthetic vol surface generation using a sine + exponential model.
• 3D visualization of strikes, maturities, and interpolated IV.

---

🛣️Roadmap

1. American Options Support (IN PROGRESS)
2. Exotic options (Asian/Barrier etc)
3. Better UI
4. Live market feed
5. Crypto support

---

❤️Contribution

• Please feel free to contribute and add new features or fix bugs! Just fork + a new branch and you are good to go!

---

Dependencies

pip install numpy scipy matplotlib

❗🙏🏼Disclaimer

This code is for educational and research purposes only :).
It does not constitute financial advice and should not be used for live trading or investment decisions.
The author is not responsible for any financial losses resulting from the use of this code.