Hi,
I do not get the same theoretical price using BlackScholesFormulaRepository.price() as other B&S sources, e.g. Black Scholes Calculator | Good Calculators.
I’m trying to just price an vanilla call option with the following values:
underlyingSpotPrice = 100.0
strike = 90.0
riskFreeInterestRate = 0.035
timeToExpiry = 1.0
volatility = 0.3
The theor value from Strata is 16.43 whereas other sources are 18.87. I’m of course not suggesting the Strata is wrong, but rather that I’m missing something or misunderstanding something.
Can anyone point me in the right direction, I would be grateful. Thanks in advance.