equity american option

financepy.products.equity.equity_american_option

Class

EquityAmericanOption

EquityAmericanOption(
    expiry_dt: Date,
    strike_price: float,
    opt_type: OptionTypes,
    num_options: float = 1.0,
) -> None

Inherits from: EquityOption

Class for American (and European) style options on simple vanilla calls and puts - a tree valuation model is used that can handle both.

Methods

value


value(
    self,
    value_dt: Date,
    stock_price: numpy.ndarray | float,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: Model,
    **kwargs,
)

Valuation of an American option using a CRR tree to take into account the value of early exercise.

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