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