{"slug":"derivatives-pricer-production-up-railway-app-v1-option-price-d4d5cb","title":"When to use","host":"derivatives-pricer-production.up.railway.app","method":"POST","resource":"https://derivatives-pricer-production.up.railway.app/v1/option/price","category":"market","description":"When to use: you already have model inputs (S or forward mark, K, T, r, σ) and need fair value + hedge ratios — not market-premium IV. European BSM price + analytic Greeks (delta, gamma, vega, theta, rho). Works for equity spots and power/commodity forwards (use the maturity mark as spot). USDC exac","price_listed":0.01,"price_asked":0.01,"state":"answering","state_label":"Answering","checks_7d":1,"answered_7d":1,"latency_ms_median":1478,"reported_calls_30d":2,"reported_payers_30d":2,"networks":["eip155:8453","solana:5eykt4UsFv8P8NJdTREpY1vzqKqZKvdp"],"badge":"unverified","paid_checks_7d":0,"paid_ok_7d":0,"example_input":{"body":{"dividendYield":0,"optionType":"call","rate":0.05,"spot":100,"strike":100,"timeToExpiry":1,"volatility":0.2},"bodyType":"json","method":"POST","type":"http"},"output_schema":{"$schema":"https://json-schema.org/draft/2020-12/schema","properties":{"input":{"additionalProperties":false,"properties":{"body":{"properties":{"dividendYield":{"description":"Continuous dividend / convenience / yield q (≥ 0, default 0).","examples":[0,0.02],"minimum":0,"type":"number"},"expiration":{"description":"ISO-8601 end of vol/exercise window. Mutually exclusive with timeToExpiry.","format":"date-time","type":"string"},"forwardStart":{"description":"ISO-8601 start of vol/exercise window. If ≤ now, behaves like plain option to expiration.","format":"date-time","type":"string"},"optionStyle":{"default":"european","description":"Exercise style (default \"european\"). American uses CRR binomial with early exercise.","enum":["european","american"],"type":"string"},"optionType":{"description":"Call or put.","enum":["call","put"],"type":"string"},"rate":{"description":"Continuously compounded risk-free rate r (e.g. 0.05 = 5%). For futures-style early exercise set r≈dividendYield.","examples":[0.03,0.05],"type":"number"},"spot":{"description":"Underlying price S (> 0). Equity spot OR power/commodity forward mark for the option's window.","examples":[100,82.5,45.5],"exclusiveMinimum":0,"type":"number"},"strike":{"description":"Strike price K (> 0) in the same units as spot.","examples":[100,50],"exclusiveMinimum":0,"type":"number"},"timeToExpiry":{"description":"Time to expiry T in years (≥ 0). Required unless expiration is set. Mutually exclusive with expiration.","examples":[0.25,1],"minimum":0,"type":"number"},"treeSteps":{"description":"CRR steps for American (default 200 on single price).","maximum":500,"minimum":50,"type":"integer"},"volatility":{"description":"Annualized volatility σ as a decimal (> 0). Applies over the vol-accrual window τ.","examples":[0.15,0.2,0.45],"exclusiveMinimum":0,"type":"number"}},"required":["spot","strike","rate","volatility","optionType"]},"bodyType":{"enum":["json","form-data","text"],"type":"string"},"method":{"enum":["POST"],"type":"string"},"type":{"const":"http","type":"string"}},"required":["type","method","bodyType","body"],"type":"object"},"output":{"properties":{"example":{"description":"Fair value and Greeks. European Greeks are analytic BSM; American Greeks are finite-difference on the CRR tree. timeline.tauYears is the model life (window); calendarYearsToExpiry is purchase→expiry.","properties":{"computedAt":{"description":"ISO-8601 UTC timestamp of computation","type":"string"},"greeks":{"description":"Greeks for hedge construction","properties":{"delta":{"description":"∂V/∂S","type":"number"},"gamma":{"description":"∂²V/∂S²","type":"number"},"rho":{"description":"∂V/∂r per 1.0 absolute rate","type":"number"},"theta":{"description":"∂V/∂T per year","type":"number"},"vega":{"description":"∂V/∂σ per 1.0 absolute vol","type":"number"}},"required":["delta","gamma","vega","theta","rho"],"type":"object"},"greeksQuality":{"enum":["analytic","finite-difference"],"type":"string"},"inputs":{"description":"Echo of validated request inputs (timeToExpiry may be resolved τ)","type":"object"},"model":{"enum":["black-scholes-merton","binomial-crr-american"],"type":"string"},"optionStyle":{"enum":["european","american"],"type":"string"},"price":{"description":"Model option fair value in underlying currency units","type":"number"},"requestId":{"description":"Correlation id for this call","type":"string"},"timeline":{"description":"Resolved ACT/365.25 window","type":"object"},"treeSteps":{"type":"integer"},"units":{"description":"Human/agent readable unit notes for price and Greeks","type":"object"}},"required":["price","greeks","inputs","model","optionStyle","timeline","greeksQuality","requestId","computedAt"],"title":"OptionPriceResponse","type":"object"},"type":{"type":"string"}},"required":["type"],"type":"object"}},"required":["input"],"type":"object"},"history":[{"day":"2026-09-24","reachable":true,"status":402,"valid_402":true,"asked_usdc":0.01,"price_match":true,"latency_ms":1478,"error":null}],"description_full":"When to use: you already have model inputs (S or forward mark, K, T, r, σ) and need fair value + hedge ratios — not market-premium IV. European BSM price + analytic Greeks (delta, gamma, vega, theta, rho). Works for equity spots and power/commodity forwards (use the maturity mark as spot). USDC exact on Solana/Base. Free fixed sample: GET /v1/demo/option-price.","last_updated":"2026-09-14T19:54:48.07Z","schemes":["exact"]}