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library

options black-schole calc mode

calc options's implied volatility, delta, gamma, vega, theta, rho with options price.

options implied-volatility curve fit

fit curve with market data(strike_price&implied_volatility) in two ways:

  • Levenberg-Marquardt(LM) [without constraints]
  • Sequential Least Squares Quadratic Programming(SLSQP) [by using python3 scipy.optimize]