option-price 0.1.7

Awesome but light option price calculator in Python

option-price

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

Installation

pip install option-price

Installation

pip install option-price

Quick Start

from optionprice import Option

An option can be initialized by:

some_option = Option(european=False,
                    kind=1,
                    s0=100,
                    k=120,
                    t=45,
                    sigma=0.01,
                    r=0.05,
                    dv=0)

Attributes

Name	Type	Definition
european	boolean	True if the option is an European option and False if it's an American one.
kind	int	1 for call option while -1 for put option. Other number are not valid.
s0	number	initial price
k	int	strike price
t	int	length of option in days
sigma	float	volatility of stock
r	float	risk free interest rate per annum
dv	float	dividend rate. 0 for non-stock option, which is also the default

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 5000. Note that the larger the value, the slower and more precise the price.