derivative_pricer
| Crates.io | derivative_pricer |
| lib.rs | derivative_pricer |
| version | 0.2.1 |
| source | src |
| created_at | 2024-06-18 16:47:26.582898 |
| updated_at | 2024-09-20 17:18:46.254971 |
| description | A library providing pricers for various options in a Black-Scholes setting |
| homepage | |
| repository | |
| max_upload_size | |
| id | 1275645 |
| size | 64,854 |
(VsevolodRakita)
documentation
README
Introduction
This library provides tools for pricing derivative secureties in a Black-Scholes setting.
Features
- Black Scholes pricing formulas for european call and put options, digital call and put options, forward price of a stock, and zero coupon bonds.
- Monte-Carlo pricer for vanilla options.
- Formulas for the greeks.