softwareplanet / option-greeks

Options Greeks Calculation

Project description

This module calculates the following Options Greeks of The Black Scholes: Delta, Theta, Gamma, Vega, Rho and Omega.

The Black Scholes model, also known as the Black-Scholes-Merton (BSM) model, is a mathematical model for pricing an options contract. In particular, the model estimates the variation over time of financial instruments. It assumes these instruments (such as stocks or futures) will have a lognormal distribution of prices. Using this assumption and factoring in other important variables, the equation derives the price of a call option.

Technologies of Implementation

• Go language (no extra dependencies)

Customer & developer Information

• Developer: Software Planet Group Ltd https://softwareplanetgroup.co.uk/