Last updated: 2023-03-16.
Module: tf_quant_finance.experimental.american_option_pricing.andersen_lake#
Calculating American option prices with Andersen-Lake approximation.
Modules#
common module: Helper functions for calculating American option prices.
exercise_boundary module: Calculating the exercise boundary function of an American option.
types module: Types module.
utils module: Utilities module.
vanilla_prices module: Black Scholes prices of a batch of European options.
Functions#
andersen_lake(...): Computes American option prices using the Andersen-Lake approximation.
calculate_exercise_boundary(...): Calculates the exercise boundary function of an American option.
divide_with_positive_denominator(...): Safely divides by a denominator which is mathematically always positive, but numerically can be zero.
gauss_kronrod(...): Evaluates definite integral using adaptive Gauss-Kronrod quadrature.
machine_eps(...): Returns the machine epsilon for the supplied dtype.