Simple pricing models for vanilla options.
Pkg.clone("https://github.com/brilhana/OptionsPricing.jl.git")using OptionsPricing
# Parameters are in order: underlying asset price, strike price, risk-free interest rate, volatility, time to expiration, Call or Put.
o = Option(100.0, 90.0, 0.05, 0.3, 180/365, "Put")
# Black-Scholes
bs(o)
# Cox-Ross-Rubinstein
crr(o)
# Least-Squares Monte Carlo
mc(o)- Documentation.
- Support for exotic options.
- Tests.