bs equity compound option

financepy.models.bs_equity_compound_option

Functions

equity_compound_option_bs


equity_compound_option_bs(
    c_opt_type: int,
    u_opt_type: int,
    t_c: float,
    t_u: float,
    k_c: float,
    k_u: float,
    s0: float,
    r_c: float,
    r_u: float,
    q_c: float,
    q_u: float,
    volatility: float,
) -> float

Value the compound option using an analytical approach if it is entirely European style. Otherwise use a Tree approach to handle the early exercise. Solution by Geske (1977), Hodges and Selby (1987) and Rubinstein (1991). See also Haug page 132.

implied_stock_price


implied_stock_price(
    t_c,
    t_u,
    k_c,
    k_u,
    opt_type_u,
    r,
    q,
    vol,
)

Calculate the critical stock price for a compound option. The critical stock price S* satisfies V_underlying(S*, t_u - t_c) = k_c. It depends on the compound strike, underlying strike, remaining mat_urity, rates, dividend yield, volatility and underlying option type. It does not depend on today's stock price. A bracketed Brent solver is used because the critical stock price must remain positive.

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