A modular and extensible Python library for pricing vanilla and exotic options using a variety of models including Black-Scholes, binomial trees, and Monte Carlo simulation. It also supports market data retrieval and volatility modeling.

An interactive app is available to demonstrate uses of the package using the streamlit library.

Note: If the Streamlit app is asleep when you open it, just click "Wake up" and give it a few seconds to load. The app is hosted using the Streamlit Community Cloud so the app may fall asleep if it has been inactive for more than a few hours to save resources.

git clone https://github.com/cjramsey/option-pricing-python.git
cd option-pricing-python

To enable you to freely edit the source code and import modules across folders, install the project in editable mode.

pip install -e .

Make sure you have pip >= 21.0, which supports PEP517/518 builds from pyproject.toml.

pip install -r requirements.txt

• John C. Hull, Options, Futures and Other Derivatives (11 Edition) 2022
• Steven E. Schreve, Stochastic Calculus for Finance I, 2004

This project is licensed under the MIT License - see the LICENSE.txt file for details.