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Results tagged with european-options
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user 64814
An option that can be exercised only at expiration.
2
votes
Pricing European Call Closed Form Spread Options in Python
Firstly, you can really use Margrabe's formula (as @Rylan said). It's exact solution, so there is good first test.
You can use numerical integration (scipy methods for example) for test your Monte-Ca …
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