Open hwypengsir opened 1 month ago
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Hi—unlike European options, which use analytic formulas and can provide all Greeks, American options use a finite-differences numerical method which can't provide vega and rho. You can calculate them by bumping and repricing, as shown in https://www.youtube.com/watch?v=MgUlBB59Ll0.
Hi, the BjerksundStenslandApproximationEngine supports all kinds of greeks for American options. It is only an approximation but usually a pretty good one.
The QuantLib's version in my os:
All the arguments related to the put option:
The other part of price valuation:
The put option's price:
Other Greeks(Delta,Gamma,theta)value:
It can't get American put option's vega,rho:
The AmericanOption contains
vega
andrho
:Why 'vega' and 'rho' are not provided in runtime?
How can calculate the American put option's vega,rho?
Are there other python libs can work for American BS model?