#black-scholes #pricing #methods #implied-vol #halley

option-pricing

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

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

#119 in Finance

MIT license

34KB
729 lines

Option Pricing

Crates.io License: MIT

This option pricing crate contains:

Cf. these ObservableHQ notebooks to experiment:

Dependencies

~0.3–0.9MB
~20K SLoC