Demo code for direct Black-Scholes implied-volatility calculation from normalized call prices via the inverse-Gaussian quantile representation.
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A complete set of volatility estimators based on Euan Sinclair's Volatility Trading
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Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.
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