Welcome!

And thanks for visiting!  This is the homepage for the Chicago Option Pricing Calculator Project, a graphing calculator implementation of the Black-Scholes option pricing model.  This project started as a collection of Excel, SPSS, and Matlab scripts that I gathered while working as a Computing Assistant at the Chicago Graduate School of Business. I felt that I didn't really truly understand the Black-Scholes Option Pricing Model, and I was underwhelmed by the options available on the ‘Net, so I decided to write my own implementation.  The calculator supports American Style Options, Extreme Value Theory, double buffered graphics, error logging, and more.  It’s also licensed under the Artistic 2.0 license, meaning you can get access to the source code and modify the calculator to suite your needs.

                                                                                                                    Abigail Watson

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Aug 15th, 2008
postscript:  Also, I’m currently looking for a job in the New York, Boston, or Chicago areas.  So if you need a financial C# programmer or Quant Analyst to do derivatives pricing and options modeling, send me an email explaining the opportunity at chipricingmodel / at / gmail / dot / com.