pryce: A Python toolkit for American option pricing
Soeren Wolfers (soeren.wolfers@gmail.com)
This package contains implementations of the Exercise Rate Optimization algorithm presented in
Bayer C., Tempone R., Wolfers S. (2019). Pricing American Options by Exercise Rate Optimization.
and of the Longstaff–Schwartz algorithm.
Install with pip install pryce
See examples.py for usage
1 maintainer
Metadata
1 maintainer
Release files for pryce 0.3.1
For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.
Source distribution (sdist)
| File | Size | Uploaded | |
|---|---|---|---|
| pryce-0.3.1.tar.gz | 6.6 kB | Details |
Release files / pryce-0.3.1.tar.gz
| Download URL | pryce-0.3.1.tar.gz |
|---|---|
| Size | 6.6 kB |
| Tags | Source |
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SHA-256 checksum How to use checksums |
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BLAKE2b-256 checksum How to use checksums |
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