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

Author

Listed:
  • Abdulnasser Hatemi-J

    (UAE University)

  • Alan Mustafa

    (IEEE)

Programming Language

Python

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.

Suggested Citation

  • Abdulnasser Hatemi-J & Alan Mustafa, 2021. "PYEOCPS: Python Module for the Evaluation of Options and Calculation of the Price Sensitivities," Statistical Software Components P00001, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:p00001
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/p/PYEOCPS.txt
    File Function: program code
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    More about this item

    Keywords

    option pricing; call; put; Greeks; Python;
    All these keywords.

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