Equity Float Lookback Option
financepy.products.equity.equity_float_lookback_option
Classes
EquityFloatLookbackOption
EquityFloatLookbackOption(expiry_dt: financepy.utils.date.Date, opt_type: financepy.utils.global_types.OptionTypes)
Inherits from: EquityOption
This is an equity option in which the strike of the option is not fixed
but is set at expiry to equal the minimum stock price in the case of a call
or the maximum stock price in the case of a put. In other words the buyer
of the call gets to buy the asset at the lowest price over the period
before expiry while the buyer of the put gets to sell the asset at the
highest price before expiry.
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 Floating Lookback option using Black-Scholes using
the formulae derived by Goldman, Sosin and Gatto (1979).
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 floating strike lookback option using a
Black-Scholes model that assumes the stock follows a GBM process.
Generated automatically from the FinancePy source code.
Do not edit this file manually.