option-price

option-price is a Python-based powerful but simple option price calculator. It makes use of vectorization, which makes it pretty fast.

A GUI version is available here.

Docs are available here.

Installation

pip install option-price

Quick Start

from optionprice import Option

An option can be initialized by:

some_option = Option(european=True,
                    kind='put',
                    s0=100,
                    k=120,
                    t=45,
                    sigma=0.01,
                    r=0.05,
                    dv=0)

Or

some_option = Option(european=False,
                    kind='call',
                    s0=120,
                    k=100,
                    sigma=0.01,
                    r=0.05,
                    start='2008-2-14'，
                    end='2008-3-14'，
                    dv=0)

You can check the option by

print(some_option)

which will print out the option’s info.

Type:           European
Kind:           call
Price initial:  80
Price strike:   120
Volatility:     1.0%
Risk free rate: 5.0%
Start Date:     2020-03-24
Expire Date:    2020-04-24
Time span:      31.0 days

Attributes

Note that if start,end and t are all given, then t will choose the difference between end and start

Also, either t or (start and end) should exists

Calculate

option-price has three approaches to calculate the price of the price of the option. They are

• B-S-M
• Monte Carlo
• Binomial Tree

option-price will choose B-S-M algorithm by default. Prices can be simply calculated by

price = some_option.getPrice()

Other methods of calculation are available by adding some parameters. For instance,

price = some_option.getPrice(method='MC',iteration = 500000)

or

price = some_option.getPrice(method='BT',iteration = 1000)

while MC stands for Monte Carlo and BT stands for Binomial Tree.

The iteration has a default value. Note that the larger the value, the slower and more precise the price.

Default value is a balance of speed and accuracy.