finite difference

financepy.models.finite_difference

Functions

black_scholes_fd


black_scholes_fd(
    spot_price,
    volatility,
    time_to_expiry,
    strike_price,
    risk_free_rate,
    dividend_yield,
    opt_type_value,
    num_steps_per_year = None,
    num_samples = 2000,
    num_std = 5,
    theta = 0.5,
    wind = 0,
    digital = False,
    smooth = False,
    update = False,
    return_grid = False,
)

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