Delta hedging simulator for European call options using the Black-Scholes model and Geometric Brownian Motion for price path generation. The project calculates and tracks option pricing, delta exposure, and rebalancing costs over time, simulating realistic hedge adjustments at each time step.
- Black-Scholes-based pricing and Greeks (Δ) for calls and puts
- Geometric Brownian Motion engine for simulating stock price evolution
- Dynamic portfolio rebalancing with cashflow tracking at each interval
- Final profit/loss analysis with return on cost
- Output formatted as a structured DataFrame for easy visualization