Option Pricing Python Library

What is included?

This package contains several different algorithms to price everything from plain vanilla to exotic

European Options

Parameters

S: Current stock price

X: Strike price of the asset

r: Risk-free rate

sigma: Volatility

T: Time

d: Continuous dividend rate (default is d=0%)

Monte Carlo Simulation

Parameters

type: "Call" / "Put"

Black Scholes

Cox-Ross-Rubenstein Binomial Tree

American Options

Cox-Ross-Rubenstein Binomial Tree

Quadratic Approximation

Coming Soon

Finite Differencing

Coming Soon

Asian Options

Monte Carlo Simulation

Barrier Options

Black Scholes

Gap Options

Black Scholes

Exchange Options

Black Scholes

Chooser Options

Black Scholes

Binary Options

Black Scholes