Crate black_scholes
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§black_scholes
A Black Scholes option pricing library.
Structs§
Functions§
- Returns standard BS call option formula.
- Returns charm of a BS call option
- Returns delta of a BS call option
- Returns BS call option formula with discount and volatility already computed.
- Returns gamma of a BS call option
- Returns implied volatility from a call option
- Returns implied volatility from a call option with initial guess
- Returns rho of a BS call option
- Returns theta of a BS call option
- Returns vanna of a BS call option
- Returns vega of a BS call option
- Returns vomma of a BS call option
- Returns call and put prices and greeks. Due to caching the complex computations (such as N(d1)), this implementation is faster if you need to obtain all the information for a given stock price and strike price.
- Returns BS put option formula.
- Returns charm of a BS put option
- Returns delta of a BS put option
- Returns BS put option formula with discount and volatility already computed.
- Returns gamma of a BS put option
- Returns implied volatility from a put option
- Returns implied volatility from a put option with initial guess
- Returns rho of a BS put option
- Returns theta of a BS put option
- Returns vanna of a BS put option
- Returns vega of a BS put option
- Returns vomma of a BS put option