google / google/tf-quant-finance

BS vol and greeks

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#13 10 comments 0 reactions 1 assignee Claimed by @cyrilchim View on GitHub
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Description

I was wondering if there's an example implementation of BS implied vol estimation for American options and greeks. This tends to be the more commonly needed example than pricing, since the immediate need is to generate vol surfaces or ivol and use in further modelling. Wondering if this is supported, I couldn't see any examples in the American pricing notebook. Thanks!

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