jetblack-options 0.3.0

Functions for calculating option values and sensitivities, both analytically and using and finite difference methods.
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

//! European option valuations

mod black_76;
pub use black_76::Black76;

mod black_scholes_73;
pub use black_scholes_73::BlackScholes73;

mod black_scholes_merton;
pub use black_scholes_merton::BlackScholesMerton;

mod garman_kohlhagen;
pub use garman_kohlhagen::GarmanKohlhagen;

mod generalized_black_scholes;
pub use generalized_black_scholes::GeneralizedBlackScholes;