Problem / motivation
The library currently assumes European-style options (exercise only at expiry). Many single-stock and equity index options are American-style, which affects pricing and implied volatility and therefore any implied probability distribution derived from the surface.
Problem / motivation
The library currently assumes European-style options (exercise only at expiry). Many single-stock and equity index options are American-style, which affects pricing and implied volatility and therefore any implied probability distribution derived from the surface.