4 ms·
Black–Scholes Model
- westurner 3y agoSHMT (2024) has a probably faster blackscholes_2d implementation: https://github.com/jk78346/SHMT/blob/main/src/kernels/function_blackscholes.cpp https://github.com/jk78346/SHMT/blob/main/src/kernels/functi... https://news.ycombinator.com/item?id=39515038 https://news.ycombinator.com/item?id=39515038 "Python for Finance", 2nd Edition (py4fi2nd) has a chapter on BSM with notebooks and a module: https://github.com/yhilpisch/py4fi2nd/tree/master/code/ch12 https://github.com/yhilpisch/py4fi2nd/tree/master/code/ch12 https://home.tpq.io/books/py4fi/ https://home.tpq.io/books/py4fi/ GH topic: black-scholes: https://github.com/topics/black-scholes https://github.com/topics/black-scholes