https://github.com/charlerive/library

options black-schole calc mode
https://github.com/charlerive/library

blackscholes curve-fitting go least-squares levenberg-marquardt-algorithm options slsqp volatility

Last synced: 10 months ago
JSON representation

options black-schole calc mode

• Host: GitHub
• URL: https://github.com/charlerive/library
• Owner: charlerive
• Created: 2021-05-25T10:07:05.000Z (about 5 years ago)
• Default Branch: master
• Last Pushed: 2022-06-13T08:22:33.000Z (about 4 years ago)
• Last Synced: 2025-05-20T19:36:56.478Z (about 1 year ago)
• Topics: blackscholes, curve-fitting, go, least-squares, levenberg-marquardt-algorithm, options, slsqp, volatility
• Language: Go
• Homepage:
• Size: 47.9 KB
• Stars: 0
• Watchers: 1
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

Awesome Lists containing this project

README

          
# library

## options black-schole calc mode

calc options's implied volatility, delta, gamma, vega, theta, rho with options price.

## options implied-volatility curve fit

fit curve with market data(strike_price&implied_volatility) in two ways:

- Levenberg-Marquardt(LM) [without constraints]

- Sequential Least Squares Quadratic Programming(SLSQP) [by using python3 scipy.optimize]