option-pricing
CommunityOption pricing and Greeks via auto-diff
Finance & Accounting#derivatives#jax#greeks#option-pricing#black-scholes#auto-differentiation#exotic-options
Authoryonesuke
Version1.0.0
Installs0
System Documentation
What problem does it solve?
Pricing financial derivatives and computing risk metrics with automations for Black-Scholes, Greeks, and exotic options.
Core Features & Use Cases
- Analytical pricing & greeks: Black-Scholes, Greeks via auto-diff.
- Exotic options support: Path- and event-based pricing references.
- Use Case: Model fair values and hedging metrics for European and exotic options in Python/JAX.
Quick Start
Run the provided example to price a European call and compute greeks using the included scripts.
Dependency Matrix
Required Modules
jaxjaxlib
Components
scripts
💻 Claude Code Installation
Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.
Please help me install this Skill: Name: option-pricing Download link: https://github.com/yonesuke/skills/archive/main.zip#option-pricing Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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