02 April 2012

Black Scholes is the model of choice for pricing options. If you don’t work in finance or have no interest in trading derivatives, then it’s unlikely you’ll have come across it. However there is a great site that lists a huge number of implementations of the model in pretty much every language you can imagine - and then some. It even has a version in Excel (which by the way is very useful as a reference implementation for testing). You can find loads of different versions here:

http://www.espenhaug.com/black_scholes.html

Unfortunately the one language that seems to be missing is Erlang. As I wanted to do some concurrency tests in Erlang ( I had already tried it in Haskell ) I decided I’d simply make my own (highly nieve) version. As I already know Python, the version here is based on that version by Andy Smith. I’ve emailed the site maintainer with my Erlang version but unfortunately I haven’t heard back yet.

Anyway for those curious or looking for such an implementation, here it is:

Black Scholes in Erlang



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