Vanilla Option Pricing

A Python package implementing stochastic models to price financial options.

The theoretical background and a comprehensive explanation of models and their parameters can be found is the paper Fast calibration of two-factor models for energy option pricing by Emanuele Fabbiani, Andrea Marziali and Giuseppe De Nicolao, freely available on arXiv.

Quick reference

• Installation
• Getting started
• Models
• Model calibration

API Documentation

• vanilla_option_pricing package
  • vanilla_option_pricing.calibration module
  • vanilla_option_pricing.models module
  • vanilla_option_pricing.option module
  • vanilla_option_pricing.option_pricing module

Indices and tables

• Index
• Module Index
• Search Page