MibianLib
Encyclopedia
MibianLib is an open source options pricing library written in the Python programming language
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These features are implemented for each pricing model
Python (programming language)
Python is a general-purpose, high-level programming language whose design philosophy emphasizes code readability. Python claims to "[combine] remarkable power with very clear syntax", and its standard library is large and comprehensive...
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Pricing Models
MibianLib implements the following pricing models:- Black–Scholes
- Garman-Kohlhagen
Features
The library permits the computation of:- Options prices for calls and puts.
- Options delta and dual delta for calls and puts.
- Options Theta, Gamma, Vega and Rho for calls and puts.
- Put-call parity
- Implied volatilityImplied volatilityIn financial mathematics, the implied volatility of an option contract is the volatility of the price of the underlying security that is implied by the market price of the option based on an option pricing model. In other words, it is the volatility that, when used in a particular pricing model,...
for a given option price.
These features are implemented for each pricing model