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Python for Finance

Python for Finance

By : Yuxing Yan
3.9 (22)
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Python for Finance

Python for Finance

3.9 (22)
By: Yuxing Yan

Overview of this book

A hands-on guide with easy-to-follow examples to help you learn about option theory, quantitative finance, financial modeling, and time series using Python. Python for Finance is perfect for graduate students, practitioners, and application developers who wish to learn how to utilize Python to handle their financial needs. Basic knowledge of Python will be helpful but knowledge of programming is necessary.
Table of Contents (14 chapters)
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13
Index

European versus American options

A European option can be exercised only on the maturity date, while an American option can be exercised any time before or on its maturity date. Since an American option could be held until it matures, its price (option premium) should be higher than or equal to its European counterparty.

European versus American options

An important difference is that for a European option, we have a closed-form solution, that is, the Black-Scholes-Merton option model. However, we don't have a closed-form solution for an American option. Fortunately, we have several ways to price an American option. Later in the chapter, we will show how to use the binomial tree method, also called the CRR method, to price an American option.

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