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Author:
Derek Xu, Oisin Kehoe, Paul Yang, Alexander Tretska, Michael Cusack-Nelkin
Summary:
Finite-difference option pricing in 1-D (Black-Scholes) and 2-D (SABR) with a Douglas-scheme ADI solver.
Latest version:
0.2.0
Required dependencies:
numpy
|
scipy
Optional dependencies:
jupyter
|
matplotlib
|
pandas
|
pytest
|
pytest-cov
|
ruff
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