Option-Pricing

Option Pricing Package to calculate different options with different methods in Python.

Options

1. European Call/Put (by black scholes or numerical methods)
2. American Call/Put (by numerical methods)
3. Bull Call/Put Spread
4. Bear Call Spread
5. Straddle
6. Strangle
7. Collar
8. Butterfly
9. Geometric Asian (by black scholes or monte carlo)
10. Arithmetic Asian (by monte carlo or control variate)

Methods

1. Black Scholes
2. Implicit/Explicit/Theta-Scheme(Crank–Nicolson) Finite Difference Method
   with Dirichlet or Neumann Boundary condition
3. Radial Basis Function: Gaussian/Multiquadric/Inverse Multiquadric/Inverse Quadric RBF
4. Radial Basis Function with Finite Difference
5. Monte Carlo Simulation
   with Geometric Brownian Motion with jump at fixed date or without jump
6. Variance Reduction: Control Variate