stochasticquant / black_scholes_option_pricing Public

Notifications You must be signed in to change notification settings
Fork 5
Star 12

Using the Black Scholes formula to price vanilla options and Greeks calculation in C#. This project demonstrates the application of OOP : Encapsulation, inheritance, interfaces

GPL-3.0 license

12 stars 5 forks Branches Tags Activity

Notifications

Name		Name	Last commit message	Last commit date
Latest commit History 4 Commits
BlackScholesPricing		BlackScholesPricing
.gitignore		.gitignore
BlackScholesPricing.sln		BlackScholesPricing.sln
LICENSE		LICENSE
README.md		README.md

Repository files navigation

black_scholes_option_pricing

Using the Black Scholes formula to price vanilla options and Greeks calculation in C#

Implementation

The following classes are implemented

Pricer - calculates the Black Scholes prices.
Greeks - calculates the Greeks.
ImpliedVol - calculates the implied volatility of the underlying stock price.

About

Using the Black Scholes formula to price vanilla options and Greeks calculation in C#. This project demonstrates the application of OOP : Encapsulation, inheritance, interfaces

GPL-3.0 license

Report repository

Releases

No releases published

Packages

No packages published

Languages

C# 100.0%