Equity Compound Option Bs
financepy.models.equity_compound_option_bs
Functions
equity_compound_option_bs
equity_compound_option_bs(c_opt_type: int, u_opt_type: int, tc: float, tu: float, kc: float, ku: float, s0: float, ru: float, qu: float, volatility: float, num_steps: int = 200) -> 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.
equity_compound_option_value_tree
equity_compound_option_value_tree(c_opt_type: int, u_opt_type: int, tc: float, tu: float, kc: float, ku: float, s0: float, ru: float, qu: float, volatility: float, num_steps: int = 200) -> numpy.ndarray
This function is called if the option has American features.
implied_stock_price
implied_stock_price(tc, tu, kc, ku, opt_type_u, r, q, vol)
Calculate the critical stock price for a compound option.
The critical stock price S* satisfies
V_underlying(S*, tu - tc) = kc.
It depends on the compound strike, underlying strike, remaining
maturity, 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.