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Options Pricing in a Real-Time App: Black-Scholes, Volatility and Strikes by Delta
How we added Black-Scholes pricing, volatility estimators and strike-by-delta selection to a live market app, plus the edge cases that break naive code.
In this article
- Why an alerts app needs a pricing model at all
- Piece 1: Black-Scholes, the honest version
- Piece 2: Volatility is the input that matters most
- Piece 3: Choosing a strike by delta
- Performance: closed-form is your friend
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