comp_methods

comp_methods is a Python library dedicated to computational methods for pricing financial derivatives, specifically focusing on American Options. It implements various numerical techniques such as Binomial Trees and Finite Difference Methods.

Features

• Binomial Tree Model: Cox-Ross-Rubinstein (CRR) implementation for American and European options.
• Finite Difference Methods:
  • Explicit Method
  • Implicit Method
  • Crank-Nicolson Method
• Greeks Calculation: Tools to compute Delta, Gamma, Theta, etc.
• Visualization: Utilities for plotting convergence and option price surfaces.

Installation

To use this library, clone the repository and install the required dependencies:

git clone https://github.com/yourusername/American_Options.git
cd American_Options
pip install -r requirements.txt

Usage

Here is a simple example of how to price an American Put option using the Binomial Tree method:

from comp_methods import BinomialTree

# Parameters: S0, K, T, r, sigma, N
S0 = 100  # Initial stock price
K = 100   # Strike price
T = 1.0   # Time to maturity (1 year)
r = 0.05  # Risk-free rate
sigma = 0.2 # Volatility
N = 100   # Number of time steps

model = BinomialTree(S0, K, T, r, sigma, N, option_type='put', style='american')
price = model.price()

print(f"American Put Option Price: {price:.4f}")

Structure

• comp_methods/: Main package containing the implementations.
• tests/: Unit tests for the algorithms.
• notebooks/: Jupyter notebooks with examples and analysis.

Contributing

Contributions are welcome! Please feel free to submit a Pull Request.

License

This project is licensed under the MIT License.