Get Price from Vol
topchatz opened this issue · comments
Hi guys, big fan of Vollib, I was wondering though is there a way to get say the options price from the implied vol? I basically now have my cubic spline going through the bid/ask mids but want to see in Price terms how under/over valued out of line strikes are.
Cheers
This is how you would do it with Black (from the docs).
>>> F = 100
>>> K = 100
>>> sigma = .2
>>> flag = 'c'
>>> r = .02
>>> t = .5
>>> black(flag, F, K, t, r, sigma)
5.5811067246048118
black_scholes and black_scholes_merton modules each have analogous functions.