Options Pricer

Project Description

A long time ago, I created a version of an options pricer using Streamlit and Python - nothing special. Given my interest in lower level languages, I explored using C as the maths engine for calculating option values while implementing the frontend on my own website. The pricer supports the Black-Scholes and Binomial Tree models, with C code compiled to WebAssembly via Emscripten which provides the necessary bindings to call it directly from the browser. Feel free to explore the C code in this repository and test it out below!

Parameters

Result

Sensitivity Analysis

When employing numerical methods such as the Binomial Tree model, computational complexity scales as O(n²) with respect to step count. Step counts exceeding 5000 are not recommended when generating the volatility surface.