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

Share:

Description

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

Methods

optionality_fcn(v, ...)

Return a version of v at time t corrected for any optionality conditions.

recovery_fcn(v, S, t, ...)

Return recovery value, given non-default values v at time t. Subclasses may be more elaborate, this method simply returns 0.0.

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.