AmericanOption-class

AmericanOption

A standard option contract allowing for early exercise at the choice of the option holder

Algorithms to price American and European
equity options, convertible bonds and a
variety of other financial derivatives. It uses an
extension of the usual Black-Scholes model in which
jump to default may occur at a probability specified
by a power-law link between stock price and hazard
rate as found in the paper by Takahashi, Kobayashi,
and Nakagawa (2001) <doi:10.3905/jfi.2001.319302>. We
use ideas and techniques from Andersen and
Buffum (2002) <doi:10.2139/ssrn.355308> and
Linetsky (2006) <doi:10.1111/j.1467-9965.2006.00271.x>.

Brian Boonstra

ragtop

Pricing Equity Derivatives with Extensions of Black-Scholes

AmericanOption-class function

<dl>
<dt><code>optionality_fcn(v, ...)</code></dt>
<dd>Return a version of <code>v</code> at time <code>t</code> corrected for any optionality conditions.</dd></dl>
<dt><code>recovery_fcn(v, S, t, ...)</code></dt>
<dd>Return recovery value, given non-default values <code>v</code> at time <code>t</code>. Subclasses may be more elaborate, this method simply returns 0.0.</dd>

Methods

A standard option contract allowing for early exercise at the choice of the option holder — AmericanOption-class

<dl>
<dt><code>optionality_fcn(v, ...)</code></dt>
<dd>Return a version of <code>v</code> at time <code>t</code> corrected for any optionality conditions.</dd>


<dt><code>recovery_fcn(v, S, t, ...)</code></dt>
<dd>Return recovery value, given non-default values <code>v</code> at time <code>t</code>. Subclasses may be more elaborate, this method simply returns 0.0.</dd>


</dl>

AmericanOption-class: A standard option contract allowing for early exercise at the choice of the option holder

Description

Arguments

Methods