# Option Pricing

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

- Skill: `yonesuke/option-pricing` (Agent Skill, multi-file: 4 files)
- Install (CLI): `npx skillmds@latest add yonesuke/option-pricing`
- Raw SKILL.md: https://api.skillmd.com/api/skills/yonesuke/option-pricing/raw
- Safety review: pending (external: skill-scanner PASS, skillspector PASS)
- Works with: Claude Code, Claude.ai, OpenAI Codex
- Category: AI & ML
- Author: yonesuke (https://skillmd.com/u/yonesuke)
- Updated: 2026-09-22
- Page: https://skillmd.com/skills/yonesuke/option-pricing

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# Option Pricing Skill

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

## Contents

- [Examples](examples.md)
    - JAX Implementation of Black-Scholes and Greeks.
- [Reference](reference.md)
    - 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).