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| author | Dennis C. M. <dennis@denniscm.com> |
|---|---|
| date | Wed, 20 Nov 2024 09:01:55 +0000 |
| parents | 6af01a49ce09 |
| children | 71d1dcfcebee |
| rev | line source |
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| 15 | 1 |
| 2 # python-black-scholes | |
| 3 | |
| 17 | 4 A command line utility to calculate the theoretical call and put price of an European option using the black-scholes model. |
| 5 | |
| 6 ## Usage | |
| 7 | |
| 8 ```bash | |
| 9 fbs --help | |
| 10 ``` | |
| 11 | |
| 12 ## Example | |
| 13 Price an European call option with the following data: | |
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ccffaf75d240
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Dennis Concepcion Martin <dennisconcepcionmartin@gmail.com>
parents:
0
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changeset
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| 17 | 15 Spot price -> $20 |
| 16 Exercise price -> $21 | |
| 17 Risk free rate -> 5% | |
| 18 Standard deviation -> 25% | |
| 19 Time to expiration -> 6 months | |
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4
ccffaf75d240
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Dennis Concepcion Martin <dennisconcepcionmartin@gmail.com>
parents:
0
diff
changeset
|
20 |
| 17 | 21 ```bash |
| 22 fbs \ | |
| 23 --spot-price=20.00 \ | |
| 24 --exercise-price=21.00 \ | |
| 25 --risk-free-rate=0.05 \ | |
| 26 --std=0.25 \ | |
| 27 --expiration=0.5 | |
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Dennis Concepcion Martin <dennisconcepcionmartin@gmail.com>
parents:
9
diff
changeset
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| 17 | 29 --------------------------------------------- |
| 30 European call option price: 1.197698084193286 | |
| 31 --------------------------------------------- | |
| 32 European put option price: 1.6792062367882679 | |
| 33 --------------------------------------------- | |
| 34 ``` | |
| 35 |