Formulas to tell you when the price is right.
Project description
jax_russell
jax-rusell
is a package that implements financial option formulas, and leverages Jax's autodifferentiation to support calculating "the greeks."
Formulas are generally taken from Espen Haug's The Complete Guide to Option Pricing Formulas.
- Documentation: https://SeanEaster.github.io/jax_russell
- GitHub: https://github.com/SeanEaster/jax_russell
- PyPI: https://pypi.org/project/jax_russell/
- Free software: GPL-3.0-only
Features
- Classes implementing standard tree methods, like Cox-Ross-Rubinstein and Rendleman Bartter
Planned
- Black Scholes and variations
- More comprehensive testing
Credits
This package was created with Cookiecutter and the waynerv/cookiecutter-pypackage project template.
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