option-greek-pricing 1.0.3

A package written in Python with equations to calculate option Prices and Greeks.

OptionGreekPricing

Table of Contents

• Overview
• Setup
• Usage

Overview

Current Version: 1.0.3

A package written in Python with equations to calculate option Prices and Greeks using the following methods:

1. Put-Call Parity. The PutCall object contains the following equations:

   • Option price for a non-dividend stock.
   • Option price for a discrete-dividend stock.
   • Option price for a continuous-dividend stock.
   • Option price for a currency option

2. Binomial Trees. The BinomialTress object contains the following equations:

   • Option price for a one period non-dividend stock.
   • Option price for a multi-period non-dividend stock european option.
   • Option price for a multi-period non-dividend stock american option.
   • Option price for a multi-period currency exchange rate european option.
   • Option price for a multi-period currency exchange rate american option.
   • Option price for a multi-period futures contract american option.

3. Black-Scholes. The BlackScholes object contains the following equations:

   • Option price for a common stock.
   • Option price for a common stock with discrete dividends.
   • Option price for a currency exchange rate.
   • Option price for a futures contract.

4. Greeks. The Greeks object contains the following equations for both call and put options:

   • Delta.
   • Gamma.
   • Vega.
   • Theta.
   • Rho.
   • Psi.

5. Monte Carlo. The MonteCarlo object contains the following equation:

   • Option price for a risk-neutral european option.

Setup

Setup - PyPi Install:

The project can be found at PyPI, if you'd like to view the project please use this link. To install the library, run the following command from the terminal.

pip install option-greek-pricing

Usage

For more detailed examples and explanations, please look at the following file: Option Pricing & Greeks.ipynb