April 2019
Intermediate to advanced
426 pages
11h 13m
English
Content preview from Mastering Python for Finance - Second Edition
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A down-and-out option
Let's take a look at an example of a down-and-out option. At any time during the life of the option, should the underlying asset price fall below an Sbarrier barrier price, the option is considered worthless. Since, in the grid, the finite difference scheme represents all the possible price points, we only need to consider nodes with the following price range:
We can then set up the boundary conditions as follows:
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.