Last updated: 2023-03-16.
Module: tf_quant_finance.black_scholes.approximations#
Approximations to the black scholes formula.
Functions#
adesi_whaley(...): Computes American option prices using the Baron-Adesi Whaley approximation.
bjerksund_stensland(...): Computes prices of a batch of American options using Bjerksund-Stensland.