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black-scholes
The Black-Scholes formula
This is an implementation of the Black-Scholes model for pricing a European call option.
Assumptions:
- The stock returns follow a geometric Brownian motion
- The underlying asset does not pay a dividend
- The rate of return on the risk-free asset is constant
- There are no arbitrage opportunities on the market
Installation
$ npm install bs-formula
Usage
var bs = require('bs-formula');
var inputs = {
currentPrice: 57, // current price of the underlying asset
strikePrice: 50, // strike price of the option
interestRate: 0.01, // annual risk-free interest rate
volatility: 0.50, // volatility of the underlying asset
timeToExpiration: 0.25 // time to expiration of the option in years
};
bs(inputs); // 9.70