bs american analytic

financepy.models.bs_american_analytic

Types

BlackScholesAlgorithmTypes

No description available.

Members

DEFAULT = 0

ANALYTICAL = 1

CRR_TREE = 2

BARONE_ADESI_WHALEY = 3

LSMC = 4

BJERKSUND_STENSLAND_1993 = 5

BJERKSUND_STENSLAND_2002 = 6

FINITE_DIFFERENCE = 7

CRR_RICHARDSON = 8

LEISEN_REIMER = 9

Functions

american_value


american_value(
    spot_price: float,
    time_to_expiry: float,
    strike_price: float,
    risk_free_rate: float,
    dividend_rate: float,
    volatility: float,
    opt_type: OptionTypes,
    algo_type: BlackScholesAlgorithmTypes = <BlackScholesAlgorithmTypes.DEFAULT: 0>,
    **params,
) -> float

Compute an option value using the selected Black-Scholes algorithm.

Generated automatically from the FinancePy source code. Do not edit this file manually.