A program that returns the price, delta and vega for European and American options is given below:
The Program
import jax.numpy as np
from jax.scipy.stats import norm
from jax import grad
class EuropeanCall:
def call_price(
self, asset_price, asset_volatility, strike_price,
time_to_expiration, risk_free_rate
):
The complete code can be found in the attached file.
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