Module option 

European vanilla option pricing, analytical Greeks, and implied volatility solver. European vanilla option pricing, analytical Greeks, and implied volatility solver.

Implements Black-Scholes-Merton (BSM) for spot/equity with continuous dividend yield, Black-76 for futures/forwards, analytical Greeks, put-call parity verification, and robust root-finding for implied volatility.

Structs

BlackScholesInputs

Core inputs required for Black-Scholes-Merton pricing.

OptionGreeks

First- and second-order price sensitivities (Greeks).

OptionPricingResult

Complete evaluated outcome of an option pricing computation.

Enums

OptionError

Errors originating from option pricing or volatility inversion.

OptionStyle

Exercise style of the option.

OptionType

Type of option contract.

Functions

black_76

Evaluates a European option on a forward or futures contract using Black’s 1976 model.

black_scholes_merton

Evaluates a European vanilla option using the Black-Scholes-Merton formula with dividend yield.

implied_volatility

Inverts the Black-Scholes-Merton formula to find the implied volatility from a market price.

normal_cdf

Standard normal cumulative distribution function $\Phi(x)$, evaluated with Hart’s rational approximation.

normal_pdf

Standard normal probability density function $\phi(x) = \frac{1}{\sqrt{2\pi}} e^{-x^2 / 2}$.

verify_put_call_parity

Verifies European put-call parity and returns the pricing discrepancy.