Rs
Derivatives Pricing in Rust
Module 10Normals & Black-ScholesLesson 3 of 728 min

Black-Scholes Call & Put

Full closed form with expiry edge cases.

Call

C = S N(d1) - K e^{-rT} N(d2)

Put

P = K e^{-rT} N(-d2) - S N(-d1)

Edge

If T<=0 return intrinsic.

Reference

ATM 1Y σ=20% r=5% S=K=100 → C≈10.45 P≈5.57

Challenge

Verify put-call parity: C-P ≈ S - K e^{-rT}.

Tips
  • Intrinsic at expiry
  • Parity is a unit test goldmine
  • Vectorize offline

Try it live

Black-Scholes Call & PutRust 2021
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Output
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