Black-Scholes Option Pricing Engine

Quant Finance Developer • Jan. 2026

Problem

Options pricing requires fast, repeatable calculations and clear visibility into how market inputs change risk.

Approach

I built a Black-Scholes-Merton pricing engine for European call and put options, then added sensitivity analysis for Delta, Gamma, Vega, Theta, and Rho.

Result

The tool supports high-volume pricing simulations through NumPy vectorization and visualizes volatility surfaces with Matplotlib.