blackscholes
This library provides an simple, lightweight, and efficient (though not heavily optimized) implementation of the Black-Scholes-Merton model for pricing European options.
Usage
Simply create an instance of the Inputs struct and call the desired method.
View the docs for usage and examples.
TODO
- Finish doc tests
- Finish unit tests
- Add all second order greeks
- Add all third order greeks
- Add proper error handling rather than panicking
- Add Black76