deeraw/options-pricing-api

Options Pricing Lab — API

European option pricing under Black-Scholes and Heston (stochastic vol), full Greeks, implied-vol solver via Brent, and a vol-surface builder with butterfly and calendar arbitrage diagnostics.

Endpoints

• —POST /price/black-scholes — closed-form price + Δ Γ Θ V ρ
• —POST /price/heston — Lewis-style Gauss-Legendre integration, Feller condition reported
• —POST /iv — Brent root-finder on BS price, returns IV + Greeks
• —POST /surface — build IV surface from a list of (K, T, price) quotes; flags no-arb violations
• —POST /greeks/strip — Greeks across a 41-point strike strip for visualisation

Run

pip install -r requirements.txt
uvicorn main:app --reload

Deploy

Push to GitHub, connect on Render. render.yaml is auto-detected.