Option pricing using the Black-Scholes formula.
blackScholes(s, k, t, v, r, callPut)
- s - Current price of the underlying
- k - Strike price
- t - Time to expiration in years
- v - Volatility as a decimal
- r - Annual risk-free interest rate as a decimal
- callPut - The type of option to be priced - "call" or "put"
Usage:
var bs = require("black-scholes");
bs.blackScholes(30, 34, .25, .2, .08, "call"); // 0.23834902311961947
bs.blackScholes(30, 34, .25, .2, .08, "put"); // 3.5651039155492974