All Questions
Tagged with american-options programming
18 questions
1
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0
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371
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Longstaff & Schwartz algorithm - Python: American option cheaper than European option
I have implemented the Longstaff & Schwartz algorithm for pricing American Option in Python, but I ran into an issue while doing some experiments: sometimes, for the same option, I get a higher ...
- 93
2
votes
1
answer
1k
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QuantLib Inaccurate - American Put Option with Discrete Dividends
I'm trying to use the QuantLib library to price American options that pay discrete dividends.
The call options are priced with good accuracy (generally <0.1% error), however the same inputs for a ...
- 21
1
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0
answers
128
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Valuing American Options using Tilley algorithm
Hey I want to implement Tilley's algorithm (Valuing American Options in a Path Simulation Model by JA Tilley, 1993) to price american options. Where can I find implementation of this method in any ...
- 81
2
votes
0
answers
732
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Extracting implied dividends from American options
I am using end of day options data and want to extract discrete dividend information contained in the option prices. I am doing this for ETFs like SPY where I know the dividend schedule. These are the ...
- 21
0
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1
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428
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Constructor error pricing american ops with divs quantlib?
Looking at post from Issue Using QuantLib and Python to Calculate Price and Greeks for American Option With Discrete Dividends
and trying to recreate the result; but getting a constructor error I ...
- 101
3
votes
1
answer
1k
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Converting an American option to European option [closed]
I wonder if there are any websites/resources/sample codes/papers on how to convert the American options to European options (when all else are equal). i.e. if given same underlying asset, same ...
- 39
2
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0
answers
187
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Pricing American Options by Neural Networks
Has anyone read the paper 'Pricing of High-Dimensional American Options by Neural Networks' by M. Kohler et al. (2010) and tried to program the proposed method in Python?
I have been trying that for ...
- 63
2
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0
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524
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Binomial Model Implementation Trouble - American and European options come out equal
I'm Trying to implement the binomial option price model in python and get reasonable performance by using memoization. I checked the output against a black and scholes model and for European options ...
- 51
-2
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2
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2k
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Least-Squares-Monte-Carlo by Neural Network Estimator for pricing American Option Python [closed]
First I did the LSM (Longstaff-Schwartz) to understand how its work to price an American option.
code for standard_normal
...
- 17
1
vote
1
answer
142
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Pricing an option with sparse data, high underlying volatility and returns
I'm currently pricing American and European options on an underlying with sparse data (interpolated), high annual volatility and returns over the last year around 300%. The product isn't similar to ...
- 187
0
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1
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244
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R script for Leasts Square Monte Carlo. How to explain vol and mean?
I am trying to do a Least Squares Monte Carlo in R. I don't know if it is the right place to post this, but I am out of options. I don't understand the following ...
- 1
8
votes
1
answer
4k
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Issue Using QuantLib and Python to Calculate Price and Greeks for American Option With Discrete Dividends
I am having trouble using QuantLib with Python to calculate American options with discrete dividends. I am using Anaconda, Spyder, Python 3.6, and the most recent version of QuantLib. I created ...
- 183
3
votes
1
answer
347
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Is there any useful links for option pricing (american + asian + european) using R
I'm trying to evaluate option pricing mainly american, asian and european options in order to get a plot to measure option valuation in time.
Is there any useful references to do that using R ?
- 31
2
votes
1
answer
829
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How do I compute volatility and greeks of the american option on futures using matlab toolbox?
I have learned some knowledge on option pricing by myself at a very beginne level.
I'm using Matlab R2009b finacial derivative toolbox.
I found option pricing functions for american options on stock, ...
3
votes
1
answer
623
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Importance Sampling for Least Square Monte Carlo [duplicate]
I am currently trying to implement and model an Importance Sampling estimator for Longstaff and Schwartz algorithm for pricing American put options. It is used such that more paths are in-the-money ...
- 427
1
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0
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72
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Jacobian for Newton method for American options by front fixing
In this paper Penalty and front-fixing methods for the numerical solution of American option problems a front fixing method based on Newton is described for an American put option is described. I am ...
- 41
6
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0
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4k
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Implied volatility from American options using python
I am currently trying to construct volatility surface from american option prices (using Cox-Ross-Rubinstein tree) in Python 2.7. Below you can find the code I came up with. Any corrections would be ...
- 331
4
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0
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300
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negative transition probabilities in the heston model
I've been trying to implement a bivariate tree for pricing american options with the heston model in R using the paper of Beliaeva and Nawalkha (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=...
- 41