https://pypi.org/project/option-price/
option-price is a Python-based powerful but simple option price calculator. It makes use of vectorization, which makes it pretty fast.
option-price has three approaches to calculate the price of the price of the option. They are
- B-S-M
- Monte Carlo
- Binomial Tree
It is a lightweight calculator to get a simple view on options pricing.
from optionprice import Option
#initialize the option
'''
european : True , False for American
kind : call or put
s0 : spot price
k : strike price
r : risk free rate
sigma : volatility
dv : dividends
start : start date
end : end date
'''
option_test = Option(european=True,
kind='call',
s0=167.53,
k=167.500,
r=0.03,
sigma=1.23,
dv=0,
start='2022-08-25',
end='2022-09-02')
# Check the option details
print(option_test)
# Calculate price options
'''
Black scholes model : default
Monte Carlo : method = 'MC'
Binomial Tree : method = 'BT'
'''
price_bsm = option_test.getPrice()
print(price_bsm)
price_mc = option_test.getPrice(method='MC',iteration=5000)
print(price_mc)
price_bt = option_test.getPrice(method='BT',iteration=100)
print(price_bt)
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