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Techniques Package#

The techniques package provides the various numerical and analytical methods used to price options and calculate their sensitivities (Greeks).

Each technique is a concrete implementation of the BaseTechnique class and is designed to work with one or more financial models from the models package.

  • Analytical Methods: ClosedFormTechnique for models with exact solutions.
  • Transform Methods: FFTTechnique and IntegrationTechnique for models with a known characteristic function.
  • Tree-Based Methods: CRRTechnique, LeisenReimerTechnique, and TOPMTechnique for lattice-based pricing.
  • Simulation Methods: MonteCarloTechnique for path-based simulation.
  • Numerical PDE Solvers: PDETechnique for solving the pricing partial differential equation.

For developers, the foundational components are defined in the Base Technique section, and select numerical implementations are in the Kernels section.