Equity American Option
financepy.products.equity.equity_american_option
Classes
EquityAmericanOption
EquityAmericanOption(expiry_dt: financepy.utils.date.Date, strike_price: float, opt_type: financepy.utils.global_types.OptionTypes, num_options: float = 1.0)
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: financepy.utils.date.Date, stock_price: numpy.ndarray | float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model)
Valuation of an American option using a CRR tree to take into
account the value of early exercise.
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Do not edit this file manually.