# Option Pricing

[![Crates.io](https://img.shields.io/crates/v/option-pricing)](https://crates.io/crates/option-pricing)
[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)

This option pricing crate contains:

+ [Black-Scholes](https://en.wikipedia.org/wiki/Black%E2%80%93Scholes_model) call and put pricers
+ [Implied vol](https://en.wikipedia.org/wiki/Implied_volatilityI) calculation with methods:
  + [Newton-Ralphson](https://en.wikipedia.org/wiki/Newton%27s_method)
  + [Halley](https://en.wikipedia.org/wiki/Halley%27s_method)

Cf. these [ObservableHQ](https://observablehq.com/) notebooks to experiment:

+ [Black-Scholes calculator](https://observablehq.com/@oscar6echo/black-scholes-calculator)
+ [Black-Scholes implied vol](https://observablehq.com/@oscar6echo/black-scholes-implied-vol)