1、行情
2、测算结果对比
参数
标的价格（s）: 3.359
行权价（k）: 3.3
波动率（v）: 0.2387
无风险利率（r）: 0.02
到期时间（t）: 29/365
| 新浪财经结果 | BS模型结果 | 二叉树模型结果 |
| { "symbol": "", "name": "", "price": 0.12505356380855237, "cp": 1, "exe_price": 3.3, "last_trade_date": "", "underlying_price": 3.359, "iv": 0.2387, "r": 0.02, "holding": 0, "delta": 0.6257571355365534, "gamma": 1.6767589265736607, "theta": -0.5785083911845488, "vega": 0.358796491148191, "rho": 0.15756592141440895, "chg": 0, "volume": 1, "underlying": "", "direction": "long", "profit": 0, "time_value": 0.06605356380855221, "t": 0.07945205479452055 } |
{ "symbol": "", "name": "", "price": 0.1252035601275248, "cp": 1, "exe_price": 3.3, "last_trade_date": "", "underlying_price": 3.359, "iv": 0.2387, "r": 0.02, "holding": 0, "delta": 0.6256700288560492, "gamma": 1.6822618432752674, "theta": -0.02034435720497653, "vega": 0.5581930890563053, "rho": 0.15756063051318714, "chg": 0, "volume": 1, "underlying": "", "direction": "long", "profit": 0, "time_value": 0.06620356012752462, "t": 0.07945205479452055 } |
3、公式
（以上公式来自于Wind）
4、代码
https://github.com/knotgd/option_analyzer