Home

Awesome

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