Last updated: 2023-03-16.

Module: tf_quant_finance.experimental.american_option_pricing.andersen_lake.common

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Helper functions for calculating American option prices.

Modules

types module: Types module.

Functions

d_minus(...)

d_plus(...)

divide_with_positive_denominator(...): Safely divides by a denominator which is mathematically always positive, but numerically can be zero.

machine_eps(...): Returns the machine epsilon for the supplied dtype.

standard_normal_cdf(...)