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Nicola edited this page Aug 9, 2017
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This module is built in order to provide some missing functionalities of the Julia Language, specifically provides some functions that are contained in the Matlab Financial Toolbox regarding the Black & Scholes Model. The name of any function is chosen from the Matlab Toolbox, in order to facilitate a Matlab user to switch to Julia.
In detail, the following functions are implemented:
- blsprice : Price for European Options.
- blsdelta : Delta sensitivities for European Options.
- blsgamma : Gamma sensitivities for European Options.
- blstheta : Theta sensitivities for European Options.
- blsvega : Vega sensitivities for European Options.
- blsrho : Rho sensitivities for European Options.
- blsimpv : Implied Volatility for European Options (using Brent method).
The module has been tested for Real Numbers, Complex Numbers, Dual Numbers, and HyperDual Numbers.