Function black_scholes::call_vomma
source · Expand description
Returns vomma of a BS call option
Examples
let stock = 5.0;
let strike = 4.5;
let rate = 0.05;
let sigma=0.3;
let maturity=1.0;
let vomma = black_scholes::call_vomma(
stock, strike, rate, sigma, maturity
);