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:

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