/option-pricer

[WIP] Option pricing engine

Primary LanguagePythonMIT LicenseMIT

Option pricing engine [Work in progress]

Features :

  • Binomial tree option pricing for :
    • European/American call and put on stock w/ or w/o dividends
    • European/American call and put on stock indices w/ or w/o dividends
    • European/American call and put on foreign currency (To be checked)
    • European/American call and put on futures contract (To be checked)

Todo :

  • Add other pricing methods
    • BSM
    • Monte carlo method
    • Stochastic volatility
  • Add support exotic options