EuropeanOption-class: A standard option contract

Description Details Methods

Description

At maturity, the call option holder will "exercise", i.e. choose stock, with value S, if the stock price is above the strike K, paying K to the option issuer, realizing value S-K. The put option holder will exercise, receiving K while surrendering stock worth S, if the stock price is below K.

Details

Therefore the value at maturity is equal to max(0,callput*(S-K))

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.



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