equity gap option

financepy.products.equity.equity_gap_option

Class

EquityGapOption

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

Inherits from: EquityOption

Class to hold details of an Equity Gap Option. It also calculates the option price using Black Scholes.

Methods

value


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

Value a European equity gap option using Black-Scholes. The payoff at expiry is: Call: (S_T - K2) * I(S_T > K1) Put: (K2 - S_T) * I(S_T < K1) where: K1 = trigger_price K2 = strike_price

value_mc


value_mc(
    self,
    value_dt: Date,
    stock_price: float,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: Model,
    num_paths: int = 10000,
    seed: int = 42,
)

Value a European equity gap option using Monte Carlo. The payoff at expiry is: Call: (S_T - K2) * I(S_T > K1) Put: (K2 - S_T) * I(S_T < K1) where: K1 = trigger_price K2 = strike_price

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