blackscholes
This library provides an simple, lightweight, and efficient (though not heavily optimized) implementation of the Black-Scholes-Merton model for pricing European options.
Includes all first, second, and third order Greeks.
Usage
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