“Oh cool. Probably a little easier than spinning up the QuantLib stack.” — Wes McKinney, creator of Pandas

• Option valuation w/ Black-Scholes, lattice (binomial tree), and Monte Carlo simulation models.
• Basic Greeks calculation (delta, theta, rho, vega, gamma) across each valuation model.
• Discrete dividends support in the lattice (binomial tree) and Monte Carlo simulation models.
• Early exercise (American options) support in Monte Carlo simulation through the Longstaff-Schwartz technique.
• Minimal dependencies, just Numpy & SciPy.
• Free software, released under the MIT license.