black-scholes v1.1.0

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 expiration in years
• v - Volatility as a decimal
• r - Annual 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