The Formula to calculate some exotic options.
Project description
EOPricer Model
This simple Python package calculates the price of some barrier and exotic options. This consists on an adptation of the Black and Scholes Model to the Bjerksund e Stensland Studies.
Install
pip install exotic-options
Import
from exotic_options import EOPricer
Class and Function arguments
Args: S (float): Current price of the underlying asset. K (float): Strike price of the option. r (float): Risk-free interest rate most appropriate for this option. T (float): Number of days till the expiration date. H (float): Barrier Value. type (str): Type of the option. Either 'call' or 'put'. Defaults to 'call'.
Create an instance of EOPricer Class
pricer = EOPricer(S=None, K=None, r=None, T=None, H=None, option_type='call')
pricer.call_down_and_out(sigma=None)
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