option pricing

Generated from the engine catalog by tools/gen-docs.mjs; do not edit.

script.qs

option.american(spot, strike, years, rate, vol, kind = call, dividend = 0) -> num

American option price (Bjerksund-Stensland 1993).

Argument	Kind	Default	Notes
`spot`	num	required
`strike`	num	required
`years`	num	required
`rate`	num	required
`vol`	num	required
`kind`	text	`call`	one of `call`, `put`
`dividend`	num	`0`

script.qs

option.black_scholes(spot, strike, years, rate, vol, kind = call, dividend = 0) -> num

Black-Scholes European option price.

Argument	Kind	Default	Notes
`spot`	num	required
`strike`	num	required
`years`	num	required
`rate`	num	required
`vol`	num	required
`kind`	text	`call`	one of `call`, `put`
`dividend`	num	`0`

script.qs

option.greeks(spot, strike, years, rate, vol, kind = call, dividend = 0) -> (delta, gamma, theta, vega, rho)

Black-Scholes greeks: (delta, gamma, theta per day, vega per 1%, rho per 1%).

Argument	Kind	Default	Notes
`spot`	num	required
`strike`	num	required
`years`	num	required
`rate`	num	required
`vol`	num	required
`kind`	text	`call`	one of `call`, `put`
`dividend`	num	`0`

Returns 5 values: delta, gamma, theta, vega, rho.

script.qs

option.iv(price, spot, strike, years, rate, kind = call, dividend = 0) -> num

Implied volatility from an option price.

Argument	Kind	Default	Notes
`price`	num	required
`spot`	num	required
`strike`	num	required
`years`	num	required
`rate`	num	required
`kind`	text	`call`	one of `call`, `put`
`dividend`	num	`0`

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