Package

purescript-black-scholes

Repository
vyorkin/purescript-black-scholes
License
MIT
Uploaded by
vyorkin

Wikipedia

Input

  • Type of option (Call or Put)
  • Current price of the underlying
  • Strike price of the option
  • Risk-free interest rate
  • Time until expiration (in years)
  • Daily volatility

Output

The current value of the option

Formulas

Call:

Call

Put:

Put

Modules
BlackScholes
Dependencies