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.

Usage

View the docs for usage and examples.

TODO

• [ ] Finish doc tests
• [ ] Finish unit tests
• [x] Add all second order greeks
• [x] Add all third order greeks
• [x] Add proper error handling rather than panicking
• [x] Organize traits into seperate files
• [ ] ~~Add Black76~~ (plan to create another package for this)

Other packages available:
Python: Pypi
WASM: npm