Module: tf_quant_finance.experimental.american_option_pricing.andersen_lake.exercise_boundary

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Last updated: 2023-03-16.

Module: tf_quant_finance.experimental.american_option_pricing.andersen_lake.exercise_boundary#

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Calculating the exercise boundary function of an American option.

Modules#

common module: Helper functions for calculating American option prices.

cubic_interpolation module: Cubic Spline interpolation framework.

types module: Types module.

utils module: Utilities module.

Functions#

boundary_denominator(...): Calculates the denominator of the exercise boundary function of an American option.

boundary_numerator(...): Calculates the numerator of the exercise boundary function of an American option.

build_spline(...): Builds a SplineParameters interpolation object.

d_minus(...)

d_plus(...)

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

exercise_boundary(...): Calculates the exercise boundary function of an American option.

gauss_legendre(...): Evaluates definite integral using Gauss-Legendre quadrature.

interpolate(...): Interpolates spline values for the given x and the spline_data.

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

standard_normal_cdf(...)

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