brents-method

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tmfreiberg / black-scholes-option-pricer

European option pricing under Black-Scholes-Merton: prices, Greeks, implied volatility, and sensitivity surfaces. Typed, tested, NumPy-only — no SciPy, so it runs in a browser. The published document shows where the model breaks, generating a volatility smile and inverting it.

python numpy webassembly numerical-methods jump-diffusion implied-volatility greeks quarto derivatives-pricing options-pricing black-scholes-merton pyodide volatility-smile brents-method merton-model quantitative-finance-option-pricing

Updated Aug 21, 2026
Python

ergineeer / numericalAnalysisMethods

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Functions for numerical analysis methods - Bisection, False-Position, Newton-Raphson, Secant Method, Brent's Method

matlab root-finding numerical-analysis newton-raphson bracketing root-finding-methods bisection-method secant-method brents-method

Updated Mar 22, 2021
MATLAB

danedanieldickerson / rolling-leverage-optimization-benchmarks

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Benchmarked root-finding algorithms (Brent's method vs. Newton-Raphson variants) to accelerate portfolio leverage optimization, identifying a warm-start NR approach as optimal, reducing computation latency by over 90%.

benchmark optimization root-finding newton-raphson leverage brents-method