Real Time Example
In the following example, we assume that we are pricing a single plain vanilla call option.
We use the black scholes library to compute the black scholes price.
Overview
The first robust model of pricing a derivative came with the Black Scholes Model.In the following example, we assume that we are pricing a single plain vanilla call option.
- {% S %} - the underlying price is {% 100 %} d
- {% K %} - the strike price is {% 100 %}
- The volatility is {% 0.2 %}
- The interest rate is set to be {% 0.01 %}
- The time to maturity is 5 years
We use the black scholes library to compute the black scholes price.
(async ()=>{
let bs = await import('/lib/finance/derivatives/black-scholes/v1.0.0/black-scholes.mjs');
let price = bs.call(100,100,0.2,0.01,5);
$console.log(price);
})();`
Real Time Data
The following is a simple real time data source. It represents a list of options on a single stock, whose real time price is given by {% S %}.
(async ()=>{
let bs = await import('/code/black-scholes/v1.0.0/black-scholes.mjs');
let portfolio = $val('black-scholes');
let rate = 0.05
let data = portfolio.map(p=>{
return {
...p,
"call-price":bs.call(p.S,p.K,p.vol,rate,p.t)
}
});
$val.set('portfolio', data);
})();