pfhedge.nn.functional.american_binary_payoff

pfhedge.nn.functional.american_binary_payoff(input, call=True, strike=1.0)[source]

Returns the payoff of an American binary option.

See also

Parameters

  • input (torch.Tensor) – The input tensor representing the price trajectory.

  • call (bool, default=True) – Specifies whether the option is call or put.

  • strike (float, default=1.0) – The strike price of the option.

Shape:

  • input: \((*, T)\) where \(T\) is the number of time steps and \(*\) means any number of additional dimensions.

  • output: \((*)\)

Returns

torch.Tensor