API: options.js

Pricing, Greeks, surface and solver.

Import path site/options.js. Pure arithmetic, no imports, safe in any runtime.

Pricing

price(o)

{S, K, T, r, q, sigma, kind} to a number. Returns discounted forward intrinsic for degenerate T or sigma. Throws if S or K is not positive.

greeks(o)

Same arguments, returns {delta, gamma, vega, theta, rho} in desk units.

probITM(o)

Risk neutral probability of finishing in the money.

Distribution

ncdf(x)

Standard normal CDF, Hart and West, about 1e−15 accurate.

npdf(x)

Standard normal density.

Surface and solver

surfaceVol(o)

{S, K, T, atmVol, skew, curve, termSlope} to a volatility, clamped to [0.02, 4].

impliedVol(o)

Newton with bisection fallback. Returns null outside no arbitrage bounds or where vega is below the identifiability threshold.

strikeForDelta(o)

Inverts delta numerically. One branch serves calls and puts, since delta decreases in strike for both.

chain(o)

Prices a list of strikes on the surface, returning prices, Greeks and probabilities.

strikeLadder(S, n)

Round strike ladder bracketing spot, shifted up rather than truncated if it would run through zero.