Awesome but light option price calculator in Python
Project description
option-price
option-price is a Python-based powerful but simple option price calculator.
Installation
pip install option-price
Usage
from optionprice import Option
You can initialize an option through this:
some_option = Option(european=False,
kind = 1,
s0 = 100,
k=120,
t=45,
sigma=0.01,
r=0.05
dv = 0)
option-price
has three approaches to calculate the price of the price of the option. They are
- B-S-M
- Monte Carlo
- Binary Tree
option-price
will pick B-S-M by default. You can simply get the price by using
some_option.getPrice()
If you want to calculate in other ways, you can use
some_option.getPrice(method='MC',iteration = 500000)
or
some_option.getPrice(method='BT',iteration = 1000)
while MC stands for Monte Carlo and BT stands for Binary Tree.
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