Basic options pricing in Python
- Free software: MIT license
- 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.