Option Pricing with Monte Carlo Simulation under the Heston Stochastic Volatility Model

Description: This application is a simulator for non-exotic and exotic option prices, utilizing the Monte Carlo simulation method. It prices options under the Black–Scholes/Heston model with Milstein/Euler scheme. This GUI app enables users to directly input parameters and select a model and scheme to obtain simulated option prices.

Replicate Post-Earnings Announcement Drift (PEAD)

Description: This code creates earnings surprise measurement and replicates post-earnings announcement drift with I/B/E/S, Compustat, and CRSP datasets. I follow the code given by WRDS (see the article here) and write the stata code from the original SAS code. After the merge, the final sample contains 410,966 firm-quarters with non-missing information in all three datasets from 1983Q3 to 2022Q1.

Extract TAQ data from WRDS Cloud via terminal

Description: A simple SAS program that can extract TAQ data from the WRDS cloud for a list of companies on particular dates during specific time periods.

Event Study Robot (DansonGo 3.0)

Description: This is an offline event study application equipped with the processed CRSP and French library data. It can automatically perform an event study by importing a list of PERMNO, event date, and window size.

Replicate Barberis, Jin, and Wang (2021) 

Description: This code replicates parts of the paper "Prospect Theory and Stock Market Anomalies" by Barberis, Jin, and Wang. I chose to replicate the momentum anomaly in my code.