Crate option_pricing

Option Pricing

This option pricing crate contains:

• Black-Scholes call and put pricers
• Implied vol calculation with methods:
  • Newton-Ralphson
  • Halley

Cf. these ObservableHQ notebooks to experiment:

• Black-Scholes calculator
• Black-Scholes implied vol

Modules

• black_scholes
  Black Scholes pricing
• implied_vol
  Implied Volatility