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Argument names for dividends across different option pricing models appear to be different, with no obvious reason for the difference. For example, `tff.black_scholes.option_price` takes in `continuo…
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* Longstaff-Schwartz Algorithm version:
* Python version:
* Operating System:
### Description
I tried to compute the American call price of an option on real data. The value of the stock price…
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[EIP 1011](http://eips.ethereum.org/EIPS/eip-1011)
## Change Log
* [2018/05/16]
* Expand and update glossary
* Change name of `SIGHASHER` to `MSG_HASHER`
* Initialize casper contract with…
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Here are some screenshots of parameters and the corresponding impossible gamma and vega (very negative) values which makes me question the rest of the greeks as well. I'm attaching the full scheme use…
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The [Black–Scholes formula](https://en.wikipedia.org/wiki/Black%E2%80%93Scholes_model) calculates the price of European put and call options.
The example of the BS formula application can be form…
pearu updated
4 years ago
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Need to implement the black-scholes pricing model in code to get the fair price rather than using bid and ask.
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Formulas for pricing a Barrier option under Black-Scholes model is of interest. (See, e.g., Section 26.9 of Hull(2018), Options, Futures, and Other Derivatives, 9th edition).
The module implementin…
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American options have a number of approximate pricing formula under Black-Scholes.
In particular, the [Baron-Adesi Whaley approximation](https://deriscope.com/docs/Barone_Adesi_Whaley_1987.pdf) is o…
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These would have to be lowered to a series of scalar vdiv and vsqrt instructions on ARMv7.
vdiv takes 15 issue cycles, vsqrt takes 14 issue cycles for 32 bit floats, so about 60 cycles total.
It…
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See http://sourceforge.net/p/quantlib/mailman/message/28749403/