Lib.rs

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#black-scholes #pricing #calculations #newton-raphson #volatility #call #implied-vol

option-pricing

Option pricing: Black-Scholes, implied volatility with Newton-Raphson, Halley methods

Owned by oscar6echo.

4 releases

0.1.3	Feb 20, 2024
0.1.2	Feb 20, 2024
0.1.1	Feb 9, 2024
0.1.0	Feb 9, 2024

#739 in Math

37 downloads per month

MIT license

33KB
696 lines

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:

Dependencies

~0.4–1MB
~23K SLoC