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Search results for python american options
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3 search results found
Financial Models Numerical Methods
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5,086
Collection of notebooks about quantitative finance, with interactive python code.
Option Pricing
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51
European/American/Asian option pricing module. BSM/Monte Carlo/Binomial
Fastamericanoptionpricing
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13
Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included for comparison.
Smap
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10
Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2017 (e.g., the method for computing the price of American call options and the construction of the early exercise premium in the Black-Scholes-Merton framework from section 18.4 in SMAP).
Least Square Monte Carlo
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7
A Program to calculate the price of American put or call option with Least Square Monte Carlo
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