AmericanOption-class function

class

A standard option contract allowing for early exercise at the choice of the option holder

Methods

• optionality_fcn(v, ...): Return a version of v at time t corrected for any optionality conditions.
• recovery_fcn(v, S, t, ...): Return recovery value, given non-default values v at time t. Subclasses may be more elaborate, this method simply returns 0.0.