Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Revert 3 american option baron adesi whaley #23

Conversation

cyrilchim
Copy link
Contributor

No description provided.

esztermarton and others added 3 commits February 22, 2020 16:44
…tion input and description

editing vanilla prices to take in cost_of_carries and riskless_rate while keeping compatibility with version that takes in discount_factors. adding reference to american_options

adding skeleton for american pricing

call option written down

starting to write down put

small progress with put option

progress with put, refactoring to make slightly nicer

further progress on calculating s** crit for put

first attempt at tests - imports not working

importing option price from black scholes directly

renaming a few modeuls

adding numpy dep;

responding to PR comments

test now failing on assertion error

adding more tests and correcting a typo

correct equation

all tests passing with outputs. will now look for bugs;

almost done

stuff
…haley

modifying vanilla price input and description. setting up american op…
@googlebot
Copy link

We found a Contributor License Agreement for you (the sender of this pull request), but were unable to find agreements for all the commit author(s) or Co-authors. If you authored these, maybe you used a different email address in the git commits than was used to sign the CLA (login here to double check)? If these were authored by someone else, then they will need to sign a CLA as well, and confirm that they're okay with these being contributed to Google.
In order to pass this check, please resolve this problem and then comment @googlebot I fixed it.. If the bot doesn't comment, it means it doesn't think anything has changed.

ℹ️ Googlers: Go here for more info.

@cyrilchim cyrilchim closed this Feb 24, 2020
@esztermarton esztermarton deleted the revert-3-american_option_baron_adesi_whaley branch March 2, 2020 08:50
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
Projects
None yet
Development

Successfully merging this pull request may close these issues.

None yet

3 participants