BlackScholesJS
Black-Scholes fair option price calculator in JS. Greeks included.
API
The library can be added to your website for use via CDN by adding the following tag to your website:
<script src="https://black-scholes-js.netlify.app/js/blackscholes.js"></script>https://black-scholes-js.netlify.app
Setting up Black-Scholes variables
Before even starting to calculate a fair option price, we need to set up the needed variables.
Our variables are held in an instance of BSHolder:
stock: underlying's asset pricestrike: strike priceinterest: the annualized risk-free interest rate (e.g. 0.05 corresponds 5%)vola: volatility (e.g. 0.3 corresponds 30%)term: a time in years (e.g. 0.5 corresponds half-year)
var bsholder = new BSHolder(stock,strike,interest,vola,term);Calculation
All function regarding calculations are members in BS.
Pass an instance of BSHolder to a function from BS.
E.g.: calculating put price:
var put = BS.put(bsholder);