#######
yaopt
#######
.. image:: https://badge.fury.io/py/yaopt.png
:target: http://badge.fury.io/py/yaopt
Basic Options Pricing (in Python)
***********************************
“Oh cool. Probably a little easier than spinning up the QuantLib stack.” — `Wes McKinney <https://github.com/wesm>`_, creator of `Pandas <https://github.com/pydata/pandas>`_.
Features
==========
#. Option valuation w/ Black-Scholes, lattice (binomial tree), and Monte Carlo simulation models.
#. Basic Greeks calculation (delta, theta, rho, vega, gamma) across each valuation model.
#. Discrete dividends support in the lattice (binomial tree) and Monte Carlo simulation models.
#. Early exercise (American options) support in Monte Carlo simulation through the Longstaff-Schwartz technique.
#. Minimal dependencies, just Numpy & SciPy.
#. Free software, released under the MIT license.
History
-------
0.1.0 (2023-01-10)
---------------------
* First release on PyPI.
0.1.2 (2024-09-06)
---------------------
* Fix to Black-Scholes implied volatility.
0.1.3 (2024-09-06)
---------------------
* Fix to README.
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