vanilla-option-pricing: Pricing and market calibration for options on energy commodities

Abstract The Python package vanilla-option-pricing implements procedures to price European vanilla options under the Black framework, using different stochastic models for the underlying asset. Currently, the geometric Brownian motion, the Ornstein–Uhlenbeck process and a two-factor mean-reverting process are available. The library supports market calibration, providing tools to tune the parameters of the stochastic processes against a set of listed options. The intended audience for the package is made of researchers and practitioners interested in quantitative finance and energy derivatives.