Option Pricing

Option pricing tools including Black-Scholes model, Greeks Calculation using Auto-Differentiation, and Exotic Options.

yonesuke Updated

File contents

Option Pricing Skill

Tools for pricing financial derivatives and calculating risk metrics (Greeks).

Contents

  • Examples
    • JAX Implementation of Black-Scholes and Greeks.
  • Reference
    • Detailed mathematical theory (SDEs, Ito's Lemma).

Usage

Use for:

  1. Pricing: Finding fair value of options.
  2. Hedging: Calculating Delta, Gamma, Vega.
  3. Simulating: Modeling asset paths (GBM).

yonesuke/skills/tree/main/option_pricing commit f7884b7e0c

Frequently asked questions

npx skillmds@latest add yonesuke/option-pricing