https://github.com/rob-blackbourn/jetblack-options

Reference implementations of option pricing formulae in Python
https://github.com/rob-blackbourn/jetblack-options

black-scholes option-pricing options

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Reference implementations of option pricing formulae in Python

• Host: GitHub
• URL: https://github.com/rob-blackbourn/jetblack-options
• Owner: rob-blackbourn
• Created: 2023-09-27T15:53:56.000Z (about 1 year ago)
• Default Branch: master
• Last Pushed: 2023-12-24T09:46:23.000Z (11 months ago)
• Last Synced: 2024-04-24T11:10:10.768Z (7 months ago)
• Topics: black-scholes, option-pricing, options
• Language: Python
• Homepage: https://rob-blackbourn.github.io/jetblack-options/
• Size: 3.26 MB
• Stars: 3
• Watchers: 2
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

        
# jetblack-options

This repository contains reference implementations of option pricing formulae

implemented in Python.

It has no dependencies.

There is an online demonstration of some of the valuations [here](https://rob-blackbourn.github.io/jetblack-options-demo/)

(source code [here](https://github.com/rob-blackbourn/jetblack-options-demo)).

## Status

This is currently considered alpha.

## Usage

The library can be installed as a package.

```bash

pip install jetblack-options

```

An obvious place to start would be with Black-Scholes.

```python

from jetblack_options.european.black_scholes_merton import (

    price,

    delta,

    make_numeric_greeks

)

is_call = True

S = 110 # Asset price.

K = 100 # Strike price.

r = 0.1 # 10% risk free rate.

q = 0.08 # 8% dividend.

T = 6/12 # Half a year till expiry.

v = 0.125 # 12.5% volatility.

b = r - q # Cost of carry for generalized Black-Scholes.

p = price(is_call, S, K, T, r, b, v)

d = delta(is_call, S, K, T, r, b, v)

# Calculate the delta by bumping the price.

ng = make_numeric_greeks(is_call=True)

d1 = ng.delta(S, K, T, r, b, v)

```

For more information [read the docs](https://rob-blackbourn.github.io/jetblack-options/).