FinancialDerivatives.jl

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FinancialDerivatives.jl is a registered Julia package and as such you can install it by activating the pkg mode (type ], and to leave it, type <backspace>), followed by

pkg> add FinancialDerivatives

To price an European option, simply create a new EuropeanOption and pass it to evaluate with the desired valuation model:

julia> using FinancialDerivatives

julia> euro_put = EuropeanOption(s=100.0, k=90.0, r=0.05, q=0.0, σ=0.3, t=180 / 365, call=false)

julia> evaluate(euro_put, BlackScholes())
3.2281936525908073