python-black-scholes

A command line utility to calculate the theoretical call and put price of an European option using the black-scholes model.

Usage

fbs --help

Example

Price an European call option with the following data:

Spot price -> $20 Exercise price -> $21 Risk free rate -> 5% Standard deviation -> 25% Time to expiration -> 6 months

fbs \
--spot-price=20.00 \
--exercise-price=21.00 \
--risk-free-rate=0.05 \
--std=0.25 \
--expiration=0.5

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European call option price: 1.197698084193286
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European put option price: 1.6792062367882679
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