All Projects → dedwards25 → Python_option_pricing

dedwards25 / Python_option_pricing

Licence: mit
An libary to price financial options written in Python. Includes: Black Scholes, Black 76, Implied Volatility, American, European, Asian, Spread Options

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Python_Option_Pricing

A libary to price financial options using closed-form solutions written in Python. MIT License.

Includes

  1. European Options: Black-Scholes, Black76, Merton, Garman-Kohlhagan;
  2. Spread Options: Kirk's Approximation, Heat Rate Options;
  3. American Options: Bjerksund-Stensland
  4. Implied Volatility
  5. Asian Options
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