Getting Started
An obvious place to start would be with Black, Scholes & Merton. This was the classic European option pricing formula that provides a method for pricing European stock options with a dividend yield.
from jetblack_options.european.black_scholes_merton import (
price,
delta
)
is_call = True
S = 110 # Asset price.
K = 100 # Strike price.
r = 0.1 # 10% risk free rate.
q = 0.08 # 8% dividend.
T = 6/12 # Half a year till expiry.
v = 0.125 # 12.5% volatility.
p = price(is_call, S, K, T, r, q, v)
d = delta(is_call, S, K, T, r, q, v)
Module contents
Almost all modules will contain a price function, also called the premium or
fair value.
Given a function to calculate the price an ivol function will exist to
calculate the implied volatility. This is done with a solver.
If a NumericalGreeks class has been written for the parameters used in the
model a make_numeric_greeks function will be available
(see Numeric Greeks).
Finally if closed form solutions are available, functions may have been written for these. For example a large number of greeks are available for much of the Black Scholes universe.