Module greeks
nautilus_
model
0.53.0
Module greeks
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Functions
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Module
greeks
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Functions
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py_
black_
scholes_
greeks
Computes Black-Scholes greeks for given parameters using the fast compute_greeks implementation.
py_
imply_
vol
Computes the implied volatility for an option given its parameters and market price.
py_
imply_
vol_
and_
greeks
Computes implied volatility and option greeks for given parameters and market price. This function uses compute_greeks after implying volatility.
py_
refine_
vol_
and_
greeks
Refines implied volatility using an initial guess and computes greeks. This function uses compute_iv_and_greeks which performs a Halley iteration to refine the volatility estimate from an initial guess.