American vanilla options - Analytical approximations

domokane / FinancePy

A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.

GNU General Public License v3.0

2.08k stars 316 forks source link

American vanilla options - Analytical approximations #9

Open domokane opened 3 years ago

domokane commented 3 years ago

Add to the model library a set of the American option approximations within Black-Scholes using

Barone-Adesi and Whaley.
Bjerksund and Stensland (1993 and 2002)

rkcah commented 2 years ago

I will take a look at this. I think so Barone-Adesi and Whaley is already implemented. I will read the Bjerksund and Stensland 93 paper and see what's the best way to start implementing.

domokane commented 2 years ago

OK. Given Barone-Adesi has been done you might want to try something else. Would this one be of interest ?

https://github.com/domokane/FinancePy/issues/117

shunmaruko commented 1 year ago

Dear Dominic, Thank you for such a nice project! It seems that Bjerksund and Stensland formula has not yet been implemented. So if nobody is trying, I will work on it.

domokane commented 1 year ago

Ok. Please go for it. Best D