A Python library for pricing installment options.
Supported products:
- Bermuda options
- Discrete installment options
- European continuous installment options
- American continuous installment options
Supported methods:
- Discrete analytic formulas
- Binomial model
- Finite Difference (FD)
- Least Squares Monte Carlo (LSMC)
- Inversion of Laplace-Carson transform (LCT)
- Extrapolation of discrete prices (Richardson and polynomial)
| Option Type | Discrete | Binomial | FD | LSMC | LCT | Extrapolation |
|---|---|---|---|---|---|---|
| Bermuda | x | x | ||||
| Discrete Installment | x | |||||
| European Continuous Installment | x | x | x | x | x | |
| American Continuous Installment | x | x |
pip install .
First import the modules:
from pystallment.algorithms import fdm as fdm
from pystallment import option as opt
Second create an appropriate Option object:
S = 105 # spot
K = 100 # strike
r = 0.05 # riskfree rate
d = 0.04 # dividend yield
T = 1 # time to maturity
q = 3 # installment rate
phi = +1 # +1 for call, -1 for put
opt = ContinuousInstallmentOption(S, K, r, d, vola, T, q, +1)
Then create a pricer object and call price():
p = FDPricer(opt)
price = p.price()
print(f"price = {price:.5}")
pytest tests