Improving Python speed using Cython : Binomial option valuation example

February 12, 2010

For the last LFPUG meeting, I have developed a simple example showing how Cython could be used to improve the performance of Python. The idea here is not to find the best way to do it but just to try to get a great speed up without digging into the hard stuff.

1. The model

The theoretical binomial model can be used to value options. “Paul Wilmott’s introduces Quantitative Finance” shows a VB example of a call valuation with such model. The following code is inspired by the VB code and gives you a pure Python version of it.
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