/black_scholes_option_pricing

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

Primary LanguageC#GNU General Public License v3.0GPL-3.0

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.