Lib.rs

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#black-scholes #volatility #newton-raphson #pricing #calculator #implied-vol #halley

option-pricing

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

Owned by oscar6echo.

5 releases

0.1.4	Nov 6, 2024
0.1.3	Feb 20, 2024
0.1.2	Feb 20, 2024
0.1.1	Feb 9, 2024
0.1.0	Feb 9, 2024

#107 in Finance

MIT license

34KB
729 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

~0.3–1MB
~21K SLoC