`py_vollib.black_scholes`¶

A library for option pricing, implied volatility, and greek calculation. py_vollib is based on lets_be_rational, a Python wrapper for LetsBeRational by Peter Jaeckel as described below.

copyright:: © 2023 Larry Richards
license:: MIT, see LICENSE for more details.

About LetsBeRational:¶

The source code of LetsBeRational resides at www.jaeckel.org/LetsBeRational.7z .

========================================================================================
Copyright © 2013-2014 Peter Jäckel.

Permission to use, copy, modify, and distribute this software is freely granted,
provided that this notice is preserved.

WARRANTY DISCLAIMER
The Software is provided "as is" without warranty of any kind, either express or implied,
including without limitation any implied warranties of condition, uninterrupted use,
merchantability, fitness for a particular purpose, or non-infringement.
========================================================================================

Subpackages¶

py_vollib.black_scholes.greeks
- py_vollib.black_scholes.greeks.analytical
- py_vollib.black_scholes.greeks.numerical

Submodules¶

py_vollib.black_scholes.implied_volatility

Package Contents¶

Functions¶

`undiscounted_black`(F, K, sigma, t, flag)	Calculate the undiscounted Black option price.
`black_scholes`(flag, S, K, t, r, sigma)	Return the Black-Scholes option price.

undiscounted_black(F, K, sigma, t, flag)[source]¶

Calculate the undiscounted Black option price.

Parameters:

F (float) – underlying futures price
K (float) – strike price
sigma (float) – annualized standard deviation, or volatility
t (float) – time to expiration in years

>>> F = 100
>>> K = 100
>>> sigma = .2
>>> flag = 'c'
>>> t = .5
>>> undiscounted_black(F, K, sigma, t, flag)
5.637197779701664

black_scholes(flag, S, K, t, r, sigma)[source]¶

Return the Black-Scholes option price.