The following is an exploration of the Black-Scholes framework. A variety of plotting tools are developed for plotting pay-off functions and option Greeks.
I wanted to get a better understanding of using Python to play around with options. We’ll have a look at creating some option payoff functions, an implementation of Black-Scholes pricing and then finish up with some sensitivity analysis (Greeks). I’ll provide a fairly high level overview of what we’re doing, but I’m by no means an expert in options! However, I found that by implementing them in Python is good practice in some fundamental skills like list manipulations, maps, plotting and taking it one step further into object-oriented programming.