Wrapper to Python_Option_Pricing for Backtrader Author: Benjamin Bradford
MIT License
Copyright (c) 2017 Benjamin Bradford
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File Contains: Python wrapper code for Davis Edward's code for valuation of American options.
This document demonstrates a Python implementation of some option models described in books written by Davis Edwards: "Energy Trading and Investing", "Risk Management in Trading", "Energy Investing Demystified".
for backward compatability with Python 2.7
A wrapper to price financial options using closed-form solutions written in Python. MIT License. GBS functions written by Davis Edwards' -- https://github.com/dedwards25/Python_Option_Pricing
The GBS import includes:
European Options: Black-Scholes, Black76, Merton, Garman-Kohlhagan; Spread Options: Kirk's Approximation, Heat Rate Options; American Options: Bjerksund-Stensland Implied Volatility Asian Options
The wrapper includes only American options, but can be expanded trivially.