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print("Option value =", AmericanOption.NPV())
Option value = 0.22013426651607249
Other Greeks(Delta,Gamma,theta)value:
print("Delta value =", AmericanOption.delta())
Delta value = -0.988975537620728
print("Gamma value =", AmericanOption.gamma())
Gamma value = 0.5635976654806573
print("Theta value =", AmericanOption.theta())
Theta value = -0.03899648147441449
It can't get American put option's vega,rho:
print("Theta value =", AmericanOption.theta())
Theta value = -0.03899648147441449
>>> print("Vega value =", AmericanOption.vega())
Traceback (most recent call last):
File "<stdin>", line 1, in <module>
File "/home/debian/mydoc/lib/python3.11/site-packages/QuantLib/QuantLib.py", line 17245, in vega
return _QuantLib.OneAssetOption_vega(self)
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
RuntimeError: vega not provided
>>> print("Rho value =", AmericanOption.rho())
Traceback (most recent call last):
File "<stdin>", line 1, in <module>
File "/home/debian/mydoc/lib/python3.11/site-packages/QuantLib/QuantLib.py", line 17249, in rho
return _QuantLib.OneAssetOption_rho(self)
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
RuntimeError: rho not provided
The AmericanOption contains vega and rho:
'vega' and 'rho' in dir(AmericanOption)
True
Why 'vega' and 'rho' are not provided in runtime?
How can calculate the American put option's vega,rho?
Are there other python libs can work for American BS model?
The text was updated successfully, but these errors were encountered:
Hi—unlike European options, which use analytic formulas and can provide all Greeks, American options use a finite-differences numerical method which can't provide vega and rho. You can calculate them by bumping and repricing, as shown in https://www.youtube.com/watch?v=MgUlBB59Ll0.
Hi,
the BjerksundStenslandApproximationEngine supports all kinds of greeks for American options. It is only an approximation but usually a pretty good one.
The QuantLib's version in my os:
All the arguments related to the put option:
The other part of price valuation:
The put option's price:
Other Greeks(Delta,Gamma,theta)value:
It can't get American put option's vega,rho:
The AmericanOption contains
vega
andrho
:Why 'vega' and 'rho' are not provided in runtime?
How can calculate the American put option's vega,rho?
Are there other python libs can work for American BS model?
The text was updated successfully, but these errors were encountered: