FinancialDerivatives.jl
Installation
(v1.0) pkg> add https://github.com/JuliaQuant/FinancialDerivatives.jlUsage
To price an European option, simply create a new EuropeanOption and pass it to evaluate with the desired valuation model:
julia> using FinancialDerivatives
julia> euro_put = EuropeanOption(100.0, 90.0, 0.05, 0.3, 180/365, -1)
julia> evaluate(euro_put, BlackScholes())
3.2281936525908073Documentation
