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waifod / quant_finance_models

Project containing the implementations of quantitative finance models
MIT License
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Fix Black-Scholes model to handle Put Options correctly #62

Closed waifod closed 1 year ago

waifod commented 1 year ago

Currently the Black-Scholes model is only defined for Call Options.

This change extends the model to also handle Put Options and add safeguards to abort the operation early and emit a warning message if the asset received it not an Option.

waifod commented 1 year ago

Recreating PR to fix formatting error.