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European Options Pricing Library

Project description


pip install ivolat3


import ivolat3

# stock price
s = 10000
# option strike price
k = 10500
# risk-free interest rate
r = 0.001
# drift rate (dividend)
q = 0.1
# time remaining until expiration (in years)
t = 20.0 / 365.0
# annual volatility of stock price
sigma = 0.2
# call option price
p = 40

# call opition price
ivolat3.prem_call(s, k, r, q, t, sigma)

# call opition implied volatility
ivolat3.ivolat_call(s, k, r, q, t, p)

# Greeks
# call delta
ivolat3.delta_call(s, k, r, q, t, sigma)

# Second-order Greeks
# gamma
ivolat3.gamma(s, k, r, q, t, sigma)

# vanna
ivolat3.vanna(s, k, r, q, t, sigma)

# vomma (volga)
ivolat3.vomma(s, k, r, q, t, sigma)

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