What problem does it solve? Valuation work repeatedly hits four option problems that a plain DCF cannot handle: employee options that must be valued and subtracted before computing value per share, distressed equity that still trades because it behaves like a call option on firm assets, real options like patents and undeveloped reserves that a static DCF misses, and early-exercise situations where a European formula understates value. ## Core Features & Use Cases - Five pricing subcommands: black-scholes, binomial (with American exercise), employee-options (dilution-adjusted via iterative fixed point), equity-as-option (with implied default probability and debt yield), and implied-vol (bisection inversion), all reading JSON and printing JSON. - Real-option discipline: a three-test framework (is there an option, is exclusivity real, can a model price it) plus a mapping table from business facts like patents, reserves, and expansion rights onto script inputs, with guidance on the cost-of-delay dividend yield. - Use Case: Value Biogen's Avonex patent as a real option by piping spot, strike, 17-year life, volatility, and cost of delay into the black-scholes subcommand, yielding roughly $905m against a $547m intrinsic value. ## Quick Start Run the options script's selftest subcommand with python3 to verify the engine, then pipe a JSON payload with spot, strike, time to expiry, volatility, and riskfree rate into the black-scholes subcommand to price your first option.
