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add Greeks calculations for Options #894

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myalgomate opened this issue Sep 7, 2022 · 2 comments
Open

add Greeks calculations for Options #894

myalgomate opened this issue Sep 7, 2022 · 2 comments
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enhancement New feature or request

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@myalgomate
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myalgomate commented Sep 7, 2022 •
edited by DaveSkender

It would be great if we add Greeks calculations to our library. See #887 for general discussion.
@myalgomate myalgomate added the enhancement New feature or request label Sep 7, 2022
@DaveSkender DaveSkender changed the title Add Greeks Calculations add Greeks calculations for Options Sep 7, 2022
@DaveSkender
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Some references for study:

@myalgomate
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myalgomate commented Sep 7, 2022 •
edited

This has VBA Code I personally found it helpful and have calculated based on this and it matches with external tools.

https://www.optiontradingtips.com/pricing/free-spreadsheet.html

implied Volatility is the bottle neck for most Greek calculations I used this formula for the same.
http://www.option-price.com/documentation.php#impliedvolatility

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enhancement New feature or request
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Stock Indicators for .NET
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@DaveSkender @myalgomate