Package Exports

black-scholes

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black-scholes

Option pricing using the Black-Scholes formula.

blackScholes(s, k, t, v, r, callPut)

s - Current price of the underlying
k - Strike price
t - Time to experiation in years
v - Volatility as a decimal
r - Anual risk-free interest rate as a decimal
callPut - The type of option to be priced - "call" or "put"

Usage:

var bs = require("black-scholes");

bs.blackScholes(30, 34, .25, .2, .08, "call"); // 0.23834902311961947
bs.blackScholes(30, 34, .25, .2, .08, "put"); // 3.5651039155492974