colbyhemond / blackscholesjs

Black-Scholes fair option price calculator in JS. Greeks included.

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 price
• strike: strike price
• interest: 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);

Credit

• Normal Distribution Calculation
• Stefano Paggi

blackscholesjs's Issues

Define and Add Unit Tests to library

Requirements:

• Each function should have a passing test for a correct calculation
• Each function should have a passing test if a calculation cannot be performed

Preferred:

• Edge cases can be defined for precision up to the 4th decimal place (0.0000)

Add Documentation to index.html

Required:

• Add same documentation as README to index.html

Preferred:

• Add any additional explanations/examples for further clarity

Add calculator form

Requirements:

• Add form to index.html or linked page
• Inputs: (stock price, strike price, volatility, interest rate, term)
• Outputs: (call price, put price, call delta, put delta, gamma, vega, call theta, put theta, call rho, and put rho)

Vega unit

Hi Stefano,

First, thank you for your lib, it help a lot to learn Black and Scholes.

When trying the vega(), it seems the result is 100 times more than that it should be. My understanding of the vega is that it is the option's price increment when the volatility increase of 0.01.

Here an example with a spot at 100 and a volatility at 20% on one years. "Price2" is the price for the same option for a volatility at 21%.

var bs = new BSHolder(100, 100, 0, 0.20, 1);
var price1 = BS.call(bs);
var price2 = BS.call(new BSHolder(100, 100, 0, 0.21, 1));
var vega = BS.vega(bs);
console.log("Vega: " + vega + "; Price: " + price1 + "; p2-p1: " + (price2 - price1));
//it show: Vega: 39.69525474770118; Price: 7.97; p2-p1: 0.3899999999999997

My understanding is that the price should be 0.39 instead of 39, in order to be in range with the option's price of 7.97.

Best Regards,
Olivier

Black Scholes Calculation

simple black-scholes-model calculator. Includes delta, gamma, theta, vega, rho and omega (lambda, kappa) calculation.