blackscholes
This library provides an simple, lightweight, and efficient (though not heavily optimized) implementation of the Black-Scholes-Merton model for pricing European options.
Includes all first, second, and third order Greeks.
Implements:
- calc_iv() in the ImpliedVolatility trait which uses Modified Corrado-Miller by Piotr P√luciennik (2007) for the initial volatility guess and the Newton Raphson algorithm to solve for the implied volatility.
Usage
View the docs for usage and examples.