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name: option-pricing description: Option pricing tools including Black-Scholes model, Greeks Calculation using Auto-Differentiation, and Exotic Options.

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).