Man pages for shill1729/OptionPricer
An option pricer for European and American vanilla stock options
| analytic_cpois | Analytic option price formula under Compensated Poisson... |
| analytic_gbm | Black-Scholes European option pricing and greeks |
| analytic_gbm_delta | Black-Scholes risk-neutral European option delta, sensitivity... |
| analytic_gbm_gamma | Black-Scholes risk-neutral European option gamma, sensitivity... |
| analytic_gbm_price | Black-Scholes risk-neutral European option price |
| analytic_gbm_rho | Black-Scholes risk-neutral European option rho, sensitivity... |
| analytic_gbm_theta | Black-Scholes risk-neutral European option theta, sensitivity... |
| analytic_gbm_vega | Black-Scholes risk-neutral European option kappa (or vega),... |
| analytic_merton | Analytic option pricing and greeks under Merton's jump... |
| analytic_merton_delta | Merton's jump-diffusion model delta for European options |
| analytic_merton_gamma | Merton's jump-diffusion model gamma for European options |
| analytic_merton_price | Merton's jump-diffusion model analytic price formula for... |
| analytic_merton_theta | Merton's jump-diffusion model theta for European options |
| black_scholes_iv | Back out Black-Scholes implied volatility |
| calibrate_kou | Calibrate the parameters of the Kou jump-diffusion model to... |
| check_gbm_convergence | Compare prices for European vanilla options produced by the... |
| check_merton_convergence | Compare prices for European vanilla options produced by the... |
| dblackscholes | Probability density function for Black-Scholes dynamics |
| dmerton | probability density function for Merton dynamics |
| dmerton1 | probability density function for Merton dynamics |
| meansq_iv_error_kou | Mean square error between market and Kou-model IVs |
| meansq_price_error_kou | Mean square error between market and Kou-model prices |
| monte_carlo_black_scholes | Comptue a conditional expectation via Monte-Carlo... |
| monte_carlo_kou | Comptue a conditional expectation via Monte-Carlo... |
| monte_carlo_merton | Comptue a conditional expectation via Monte-Carlo... |
| monte_carlo_pois | Monte-Carlo European option pricing under exponential... |
| OptionPricer | OptionPricer: An option pricer for European and American... |
| pblackscholes | Cumulative distribution function for Black-Scholes dynamics |
| pde_gbm | Solve a PDE/variational inequality under GBM dynamics |
| pde_gbm_greeks | Solve a PDE/variational inequality under GBM dynamics |
| pde_gbm_grid | Solve a PDE/variational inequality under GBM dynamics |
| pde_gbm_price | Solve a PDE/variational inequality under GBM dynamics |
| pide_kou | Solve a PIDE/variational inequality under Kou's... |
| pide_kou_greeks | Solve a PIDE/variational inequality under Kou's... |
| pide_kou_grid | Solve a PIDE/variational inequality under Kou's... |
| pide_kou_price | Solve a PIDE/variational inequality under Kou's... |
| pide_merton | Solve a PIDE/variational inequality under Merton's... |
| pide_merton_greeks | Solve a PIDE/variational inequality under Merton's... |
| pide_merton_grid | Solve a PIDE/variational inequality under Merton's... |
| pide_merton_price | Solve a PIDE/variational inequality under Merton's... |
| pmerton | cumulative distribution functio for Merton dynamics |
| pmerton1 | cumulative distribution function for Merton dynamics |
| price_wrapper | Wrapper to GBM pricer |
