Nicole  Kroeger, North Carolina State University

Financial Math to Predict Futures Prices

Abstract:  Have you ever wanted to predict future stock prices?  We verify various methods, and extend them to current stock data to model the movement of stock options. Using the Black-Scholes formula we test the predictive ability of our model by calculating the S&P 500 option prices for the following day.  Our calculations provide comparisons of computations from different models when exact models are available and we apply these models to predict future data in the Wall Street Journal.

Advisor: Jeff Scroggs (NCSU)