ao_ann 0.1.1

American Options Pricing ANN

American Options ANN

Note: This package uses Torch under ROCM v6.2.4, if you are not using an AMD GPU, you will need to replace the torch dependency with a compatible version for your GPU.

This is a Python package for American Options Pricing using Artificial Neural Networks (ANN) that assumes the option follows a GARCH process. The package will contain 3 stages of datasets for 3 GARCH models:

1. HN-GARCH
2. Duan-NGARCH
3. GJR GARCH

Project Structure

• main.py: Contains the main entry point for the program, and is in charge of running the Training and Testing of the ANN model.
• model.py: Contains the implementation of the ANN model used for pricing American Options.
• dataset.py: Contains parsing the CSV files and preparing the data for training and testing.
• utils.py: Contains utility functions for the package.

This project uses the Python package manager uv, this can be installed using the following command:

$ pip3 install uv

TODO: How to use uv and other information, first need to figure out the publishing process.

Refer to the License file for licensing information.