yaopt 0.1.2

Basic options pricing in Python

# yaopt

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###### Basic options pricing in Python

&ldquo;Oh cool. Probably a little easier than spinning up the QuantLib stack.&rdquo; &mdash; [Wes McKinney](https://github.com/wesm), creator of [Pandas](https://github.com/pydata/pandas)

### Features

• Option valuation w/ Black-Scholes, lattice (binomial tree), and Monte Carlo simulation models.

• Basic Greeks calculation (delta, theta, rho, vega, gamma) across each valuation model.

• Discrete dividends support in the lattice (binomial tree) and Monte Carlo simulation models.

• Early exercise (American options) support in Monte Carlo simulation through the Longstaff-Schwartz technique.

• Minimal dependencies, just Numpy & SciPy.

• Free software, released under the MIT license.

History

0.1.0 (2023-01-10)

• First release on PyPI.

0.1.2 (2024-09-06)

• Fix to Black-Scholes implied volatility.