Option pricing
Project description
pryce: A Python toolkit for American option pricing
=================================================================================
:Author: Soeren Wolfers <soeren.wolfers@gmail.com>
:Organization: King Abdullah University of Science and Technology (KAUST)
This package contains implementations of the 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
.. __: https://arxiv.org/abs/1809.07300
=================================================================================
:Author: Soeren Wolfers <soeren.wolfers@gmail.com>
:Organization: King Abdullah University of Science and Technology (KAUST)
This package contains implementations of the 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
.. __: https://arxiv.org/abs/1809.07300
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