Pricing financial options in Python using Black-Scholes

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A command line utility to calculate the theoretical call and put price of an European option using the black-scholes model.

You can find the code in my Github

Previously, the project name was fucking-black-scholes, but I changed it to make sure that no employer thinks I’m crazy or something.

Usage

fbs --help

Example

Price an European call option with the following data:

  • Spot price -> $20
  • Exercise price -> $21
  • Risk free rate -> 5%
  • Standard deviation -> 25%
  • Time to expiration -> 6 months
fbs \
--spot-price=20.00 \
--exercise-price=21.00 \
--risk-free-rate=0.05 \
--std=0.25 \
--expiration=0.5

---------------------------------------------
European call option price: 1.197698084193286
---------------------------------------------
European put option price: 1.6792062367882679
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