Introduction

This library provides tools for pricing derivative secureties in a Black-Scholes setting.

Features

• Black Scholes pricing formulas for european call and put options, digital call and put options, forward price of a stock, and zero coupon bonds.
• Monte-Carlo pricer for vanilla options.
• Formulas for the greeks.

lib.rs:

#Introduction

This library provides tools for pricing derivative secureties in a Black-Scholes setting.

Features

• Black Scholes pricing formulas for european call and put options, digital call and put options, forward price of a stock, and zero coupon bonds.
• Monte-Carlo pricer for vanilla options.
• Monte-Carlo pricer for exotic options.
• Formulas for the greeks.