@haydenr4/blackscholes_wasm NPM

blackscholes

This library provides an simple, lightweight, and efficient (though not heavily optimized) implementation of the Black-Scholes-Merton model for pricing European options.

Includes all first, second, and third order Greeks.

Implements:

calc_iv() in the ImpliedVolatility trait which uses Modified Corrado-Miller by Piotr P√luciennik (2007) for the initial volatility guess and the Newton Raphson algorithm to solve for the implied volatility.