PYEOCPS: Python Module for the Evaluation of Options and Calculation of the Price Sensitivities

Abdulnasser Hatemi-J and Alan Mustafa

Statistical Software Components from Boston College Department of Economics

Abstract: This Python module determines the fair value of the European call and put options via Black and Scholes (1973) seminal formula as well as the alternative formula suggested by El-Khatib and Hatemi-J (2017) that is useful for option pricing when the financial market is characterized by a crisis. The module calculates also the Greeks (i.e. the price sensitivities) via both approaches. For details see (a) Black F. and Scholes M. (1973), “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy, 81(3), 637-654. (b) El-Khatib, Y. and Hatemi-J, A. (2017), “Option valuation and hedging in markets with a crunch”, Journal of Economic Studies, 44(5), 801-815.

Language: Python
Requires: Python
Keywords: option pricing; call; put; Greeks (search for similar items in EconPapers)
Date: 2021-05-02
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