tiny-pricing-utils Package

tiny_pricing_utils is a Python package for option pricing and financial modeling. It includes implementations of the Black-Scholes and Heston models, Monte Carlo simulations, and characteristic functions for Fourier-based pricing.

Working examples can be found at: https://github.com/MichaelCarloH/Option-Pricing/tree/main/Option%20pricing

Key Features:

• Black-Scholes Model: European option pricing.
• Heston Model: Class-based implementation with FFT pricing methods.
• Monte Carlo Simulations: Simulates stock price paths under different models.
• Characteristic Functions: Fourier-based characteristic functions for pricing using BS and Heston.
• Stock paths generation with Geometric Brownian Motion, Euler and Milstein Monetcarlo methods

Features

• Utility functions for pricing options
• Helper functions for computing characteristic function
• Easy-to-use and modular

Installation

To install the package, you can clone the repository or use pip:

Documentation

The full documentation can be found at:

https://option-pricing-1ld1qd386-michael-carlos-projects.vercel.app/

Clone the repository:

git clone https://github.com/MichaelCarloH/Option-Pricing.git
python setup.py install

Aknowledgements:

Part of the Theory and code snippets are based on the course “Financial Engineering” by Peter Leon and Wim Schoutens and course collaborators at KU Leuven.