2 ms·
SHMT (2024) has a probably faster blackscholes_2d implementation: https://github.com/jk78346/SHMT/blob/main/src/kernels/function_blackscholes.cpp https://github
by westurner 3y ago
SHMT (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