joptions

JavaScript library for Options pricing (Black-Scholes, Garman-Kohlhagen models)

• Call and put prices for
  • regular options
  • binary options
  • currency options
• Greeks
• Implied volatility

var option = { type: 'c', S: 75, X: 90, T: 0.8, r: 0.02, volatility: 0.2 };
var callPrice = joptions.regular.price(option);

var option = { type: 'p', S: 175, X: 90, T: 0.5, r: 0.02, volatility: 0.35 };
var putPrice = joptions.binary.price(option);

var option = { type: 'c', S: 1.56, X: 1.6, T: 0.5, r: 0.06, rf: 0.08, volatility: 0.12 };
var callPrice = joptions.currency.price(option);

var option = { S: 75, X: 90, T: 0.8, r: 0.02, volatility: 0.2 };
var gamma = joptions.greeks.gamma(option);
var vega = joptions.greeks.vega(option);

var option = { type: 'p', S: 100, X: 95, P: 11.10, T: 0.5, r: 0.03 };
var impliedVolatility = joptions.volatility.implied(option);