Price European and exotic options and compute Greeks via automatic differentiation in Python with JAX.
npx skills add https://github.com/yonesuke/skills --skill option-pricing
Please help me install this Agent Skill. Skill: option-pricing Source: https://github.com/yonesuke/skills/tree/main/option_pricing Command: npx skills add https://github.com/yonesuke/skills --skill option-pricing
Pricing financial derivatives and computing risk metrics with automations for Black-Scholes, Greeks, and exotic options.
Run the provided example to price a European call and compute greeks using the included scripts.
High-intent search queries and answers about installing and using this skill.
You can compute option Greeks via auto-diff using JAX in Python. This Skill implements Black-Scholes pricing and calculates Greeks automatically, providing accurate hedging metrics for European options without manual gradient derivations.
Yes, you can price exotic options using JAX. This Skill provides path- and event-based pricing references for exotic options alongside standard Black-Scholes analytical pricing, supporting fair value modeling for non-standard derivative structures.
The best way to calculate European call option prices and hedging metrics is using auto-differentiation with JAX. This approach implements Black-Scholes formulas and computes Greeks simultaneously, providing both fair values and risk metrics through included scripts.
Yes, you need JAX and jaxlib installed to run automatic differentiation for option pricing. These dependencies provide the auto-diff framework required to compute Black-Scholes Greeks and model exotic options in Python.
Automatic differentiation improves Greeks calculation by computing exact derivatives programmatically through JAX, eliminating manual symbolic differentiation errors. This method calculates Black-Scholes risk metrics like delta and gamma directly from the pricing function with high numerical accuracy.
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