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ENH: Analytically calculate greeks in BS modules #437

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6 of 10 tasks
ghost opened this issue Dec 26, 2021 · 3 comments
Open
6 of 10 tasks

ENH: Analytically calculate greeks in BS modules #437

ghost opened this issue Dec 26, 2021 · 3 comments
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arithmetic Needs work on arithmetic black-scholes Related to Black-Scholes model enhancement New feature or request

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@ghost
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ghost commented Dec 26, 2021 •
edited by ghost
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  • BSAmericanBinaryOption.gamma
  • BSAmericanBinaryOption.vega
  • BSAmericanBinaryOption.theta
  • BSEuropeanBinaryOption.gamma
  • BSEuropeanBinaryOption.vega
  • BSEuropeanBinaryOption.theta
  • BSLookbackOption.delta
  • BSLookbackOption.gamma
  • BSLookbackOption.vega
  • BSLookbackOption.theta

Todo is implementing analytical formulas, rather than autogreek for them, for better performance.
@ghost ghost added the enhancement New feature or request label Dec 27, 2021
@ghost ghost added black-scholes Related to Black-Scholes model arithmetic Needs work on arithmetic labels Mar 3, 2022
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ghost commented Mar 16, 2022

Would solve nan issues due to autograd #528

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ghost commented Mar 16, 2022

European binary
#553

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ghost commented Mar 16, 2022

American binary #554

ghost pushed a commit that referenced this issue Mar 23, 2022
ENH: Analytical BS European binary formulas (#437) (#553)
9a5c376
ghost pushed a commit that referenced this issue Mar 23, 2022
ENH: Analytical BS American binary formula (#437) (#554)
e77805b
ghost pushed a commit that referenced this issue Mar 23, 2022
@actions-user @github-actions
Release/0.19.1 (#558)
b45416a 
* ENH: Add `autogreek.gamma_from_delta` (close #397) (#552)

* ENH: Analytical BS European binary formulas (#437) (#553)

* ENH: Analytical BS American binary formulas (#437) (#554)

* DOC: Add notes on analytic formulas of price and greeks (#556)

* DOC: Fix notebook and clear outputs (close #402) (#557)

* DOC: Fix typo in `generate_local_volatility_process` (#551)

* Bumping version from 0.19.0 to 0.19.1 (#559)

Co-authored-by: GitHub Actions <[email protected]>
Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Co-authored-by: GitHub Actions <[email protected]>
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arithmetic Needs work on arithmetic black-scholes Related to Black-Scholes model enhancement New feature or request
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