Options Pricing & Greeks Calculation

This Python project implements core options pricing models and calculates risk sensitivities (Greeks) for financial derivatives. It also demonstrates simulations for exotic options and conducts sensitivity analysis.

📈 Features

• Black-Scholes pricing model
• Binomial Tree pricing model
• Greeks calculation (Delta, Gamma, Vega, Theta, Rho)
• Exotic options: Barrier, Digital, Range Accrual (simplified)
• Sensitivity analysis over time (Delta, Theta)
• Visual plots for Greek behavior

📂 Project Structure

├── options_pricing_greeks.py    # Core logic for pricing and greeks
├── main.py                      # Script to run and test features
├── README.md                    # Project documentation
├── requirements.txt             # Dependencies

🚀 Getting Started

1. Clone the repository

git clone https://github.com/yourusername/options-pricing-greeks.git
cd options-pricing-greeks

2. Install dependencies

pip install -r requirements.txt

3. Run the main script

python main.py

🧠 Usage Example

from options_pricing_greeks import black_scholes_price, greeks
price = black_scholes_price(100, 100, 1, 0.05, 0.2, 'call')
greek_vals = greeks(100, 100, 1, 0.05, 0.2)

📊 Output Example

• Option prices printed in console
• Plot showing Delta and Theta over time

📚 References

• Hull, J. C. Options, Futures, and Other Derivatives
• Black-Scholes Model
• Binomial Option Pricing

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