April 2019
Intermediate to advanced
426 pages
11h 13m
English
Content preview from Mastering Python for Finance - Second Edition
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A class for American options using a binomial tree
Unlike European options, which can only be exercised at maturity, American options can be exercised at any time during their lifetime.
To implement the pricing of American options in Python, in the same way we did with the BinomialEuropeanOption class, create a class named BinomialTreeOption that inherits the Stockoption class. The parameters that are used in the setup_parameters() method remain the same, except for the removal of an unused M parameter.
The methods that are used in American options are as follows:
- init_stock_price_tree: Uses a two-dimensional NumPy array to store the expected returns of the stock prices for all time steps. This information is used to calculate the payoff ...
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