black-scholes-pricer

European option pricing and Greeks under the Black-Scholes-Merton model. No dependencies, plain CommonJS.

Supports a continuous dividend yield q (the Merton extension), the standard Greeks, and an implied-volatility solver.

Install

npm install black-scholes-pricer

Usage

const { callPrice, putPrice, greeks, impliedVol } = require('black-scholes-pricer');

// S, K, t (years), r, sigma, [q]
callPrice(100, 100, 1, 0.05, 0.2);        // ~10.4506
putPrice(100, 95, 0.75, 0.03, 0.25);

const g = greeks('call', 100, 100, 1, 0.05, 0.2);
// { delta, gamma, vega, theta, rho }

impliedVol('call', 10.45, 100, 100, 1, 0.05); // ~0.20

Notes on units

• sigma and r are decimals (0.2 = 20%).
• theta is per year; divide by 365 for per-day.
• vega and rho are per unit move; multiply by 0.01 for the familiar "per 1 point" market quote.
• When t <= 0 or sigma <= 0, prices fall back to discounted intrinsic value.

The normal CDF uses the Abramowitz & Stegun 7.1.26 rational approximation of erf (absolute error ~1.5e-7), which is plenty for pricing but not intended for tail-probability work.

License

ISC