Options Pricing & Greeks Engine
The Challenge
A derivatives desk was using Excel-based pricing models that couldn't handle complex structures or provide real-time Greeks. This limited their ability to price exotic options and manage portfolio risk effectively.
Our Solution
Developed a high-performance derivatives pricing engine supporting Black-Scholes, binomial trees, and Monte Carlo methods. Real-time Greeks calculation with portfolio-level risk aggregation.
Our Approach
Implemented multiple pricing models optimized for different option types
Built real-time Greeks engine with delta, gamma, vega, theta, and rho
Created volatility surface fitting with SVI and SABR models
Developed portfolio-level risk aggregation dashboard
Integrated with market data feeds for live pricing
Technology Stack
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