Options Pricing Engine

PHASE 3

Black-Scholes Greeks, Monte Carlo exotics, binomial trees and implied vol.

Planned capabilities

›Black-Scholes European prices with delta, gamma, vega, theta and rho.
›Monte Carlo pricer in a background worker with antithetic variates, standard error and convergence chart.
›Path-dependent payoffs: Asian, lookback and barrier options.
›Cox-Ross-Rubinstein binomial tree for American options with the early-exercise premium.
›Implied volatility by Newton-Raphson with a bisection fallback, plus a volatility smile view.
›Payoff diagrams, Greek curves versus spot, and a spot-by-vol P&L heatmap for multi-leg strategies.

Data readiness

datasets available in the workspace.

Status

This module is scaffolded and wired into the workspace. It will be built out in phase 3, using the shared math library and the datasets you generate or upload.