A Python Application Software to Option Pricing and the Estimation of Price Sensitivities as a Component of a Financial Information System

Determining the fair price of options and estimating the price sensitivities are important issues for dealing with financial risk. However, the calculation of these values can be a tedious process. This paper aims at option pricing and the estimation of price sensitivities via a module created by the authors in Python. Furthermore, as it is known, any information system is a collection of sub subsystems, which work together as a series of supportive components to a larger system. This module works to support any ‘Financial Information System’ in its algorithmic approach to option pricing and the estimation of price sensitivities. This module has been developed in Python, which can work side-by-side with any financial information system and supports the decision-making process of financial planning of any financial organization. This Python module is being developed into four subcomponents. A numerical example is provided for determining the fair value of options and estimating the price sensitivities using two different approaches. These values can be important inputs for hedging purposes.