Last updated: 2023-03-16.

Module: tf_quant_finance.experimental.american_option_pricing.andersen_lake.vanilla_prices

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Black Scholes prices of a batch of European options.

Functions

asset_or_nothing_price(...): Computes the Black Scholes price for a batch of asset-or-nothing options.

barrier_price(...): Prices barrier options in a Black-Scholes Model.

binary_price(...): Computes the Black Scholes price for a batch of binary call or put options.

option_price(...): Computes the Black Scholes price for a batch of call or put options.

swaption_price(...): Calculates the price of European Swaptions using the Black model.