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Incorrect Greeks calculation #12

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macalinao opened this issue May 16, 2020 · 0 comments

macalinao commented May 16, 2020

Opyn uses American options, but https://github.com/MattL922/greeks is built for European options.

https://quant.stackexchange.com/questions/35163/american-options-relation-between-greeks

Unfortunately, I don't see a library for American options on NPM. Hope someone makes one soon!

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