Function black_scholes::put_vomma
source · Expand description
Returns vomma of a BS put 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::put_vomma(
stock, strike, rate, sigma, maturity
);