This repo. contains the implementation of the Ritchken-Trevor algorithm to price American put options.

Running the Code

NumPy package is required. Then, just type python hw4.py to execute the code.

Inputs

The following inputs are hard-coded at the beginning of hw4.py:

• E (days before expiration)
• r (%) (annual interest rate)
• S (stock price at time 0)
• h0, b0, b1, b2, c
• X (strike price)
• n1 (number of partitions per day)
• n2 (number of variances per node)

Warning

If you are looking for a reference for your homework (probably of the course Principles of Financial Computing in NTU), be careful! The probability of escaping from the suspection is slim, if possible at all.