Equity Fixed Lookback Option
financepy.products.equity.equity_fixed_lookback_option
Classes
EquityFixedLookbackOption
EquityFixedLookbackOption(expiry_dt: financepy.utils.date.Date, opt_type: financepy.utils.global_types.OptionTypes, strike_price: float)
Inherits from: EquityOption
This is an equity option in which the strike of the option is fixed but
the value of the stock price used to determine the payoff is the maximum
in the case of a call option, and a minimum in the case of a put option.
Methods
value
value(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model, stock_min_max: float)
Valuation of the Fixed Lookback option using Black-Scholes using
the formulae derived by Conze and Viswanathan (1991). One of the inputs
is the minimum of maximum of the stock price since the start of the
option depending on whether the option is a call or a put.
value_mc
value_mc(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model, stock_min_max: float, num_paths: int = 10000, num_steps_per_year: int = 252, seed: int = 4242)
Monte Carlo valuation of a fixed strike lookback option using a
Black-Scholes model that assumes the stock follows a GBM process.
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Do not edit this file manually.