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danielhstahl / black_scholes_rust

Rust for black scholes
https://danielhstahl.github.io/black_scholes_rust/dev/bench/
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compute_all isn't really realistic if it only accepts 1 sigma/IV because call/put IVs are usually different #20

Closed brandonros closed 1 year ago

brandonros commented 1 year ago

not sure if that's an easy refactor or not... or if I am misunderstanding somethign

danielhstahl commented 1 year ago

They aren't different by put-call parity. If there is a difference, there is an arbitrage or the parameters are different.

https://blog.orats.com/understanding-options-why-do-calls-and-puts-have-different-implied-volatility