Metadata-Version: 2.1
Name: pryce
Version: 0.2
Summary: Option pricing
Home-page: https://github.com/soerenwolfers/pryce
Author: Soeren Wolfers
Author-email: soeren.wolfers@gmail.com
License: UNKNOWN
Platform: UNKNOWN
Requires-Python: >=3.6
Requires-Dist: numpy
Requires-Dist: scipy
Requires-Dist: swutil
Requires-Dist: smolyak

pryce: A Python toolkit for American option pricing 
=================================================================================
Soeren Wolfers (soeren.wolfers@gmail.com)

This package contains implementations of the algorithm presented in

Bayer C., Tempone R., Wolfers S. (2019). `Pricing American Options by Exercise Rate Optimization`__.

and of the Longstaff--Schwartz algorithm.

Install with `pip install pryce`

See `examples.py` for usage

.. __: https://arxiv.org/abs/1809.07300



