Class OptionPricer

java.lang.Object

org.episteme.social.economics.OptionPricer

public final class OptionPricer
extends Object

Provides mathematical models for option pricing, including Black-Scholes and binomial tree implementations. Supports both European and American style options.

Since:

1.0

Version:

1.1

Author:

Silvere Martin-Michiellot, Gemini AI (Google DeepMind)

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	OptionPricer.OptionGreeks
static final record	OptionPricer.OptionParameters
static enum	OptionPricer.OptionStyle
static enum	OptionPricer.OptionType
static final record	OptionPricer.PricingResult

Method Summary

Modifier and Type	Method	Description
static OptionPricer.PricingResult	binomialTree(OptionPricer.OptionParameters params, int steps)	Binomial tree pricing (can handle American options).
static OptionPricer.PricingResult	blackScholes(OptionPricer.OptionParameters params)	Black-Scholes pricing for European options.
static boolean	checkPutCallParity(Real callPrice, Real putPrice, Real spotPrice, Real strikePrice, Real riskFreeRate, Real timeToExpiry)	Put-Call Parity check.
static Real	impliedVolatility(OptionPricer.OptionParameters params, Real marketPrice)	Calculates implied volatility from market price.

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

blackScholes

public static OptionPricer.PricingResult blackScholes(OptionPricer.OptionParameters params)

Black-Scholes pricing for European options.

binomialTree

public static OptionPricer.PricingResult binomialTree(OptionPricer.OptionParameters params,
 int steps)

Binomial tree pricing (can handle American options).

impliedVolatility

public static Real impliedVolatility(OptionPricer.OptionParameters params,
 Real marketPrice)

Calculates implied volatility from market price.

checkPutCallParity

public static boolean checkPutCallParity(Real callPrice,
 Real putPrice,
 Real spotPrice,
 Real strikePrice,
 Real riskFreeRate,
 Real timeToExpiry)

Put-Call Parity check.