A question about option pricing

[Canyon]

Hi all, I have a project about option pricing on hand, here is the detailed description:
Modelling and Analysis of Shares and Option Pricing The cadidate will use real life data of processes stock and option prices and will develop stochastic models for understanding and prediction of shares and option pricing. The project includes use of The Black–Scholes model, and time series models. The student is required to have a strong mathematical background.

My question is, what kind of data that I need to collect and extract? And what course that I need to review?

 

[Jorge Adan Silva]

Hello, you can get daily time series of stock prices from Yahoo Finance, if you have access to a bloomberg terminal that would be great. Maybe you can start by computing log returns and plotting histograms and box plots, make some test for normality (JB, Kolmogorov). If you are dealing with normally distributed returns then you can probably use a brownian motion model to simulate stock patterns. What course to review? mmm not sure maybe financial econometrics or derivatives pricing