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