def _put_zerofunc(sigma, S0, K, T, r, p):
return bsprices(S0, K, T, r, sigma)[1] - p
def _call_zerofunc(sigma, S0, K, T, r, c):
return bsprices(S0, K, T, r, sigma)[0] - c
def _call_zerofunc(sigma, S0, K, T, r, c):
return bsprices(S0, K, T, r, sigma)[0] - c
def _put_zerofunc(sigma, S0, K, T, r, p):
return bsprices(S0, K, T, r, sigma)[1] - p
put_pay_off.mean()*discount)
if __name__ == "__main__":
S0 = 40 # $40 current price
K = 42 # $46 strike price
T = 3/12.0 # 3 months in units of years
r = 0.01 # annual risk-free rate of return
sigma = 0.30 # volatility per annum
msg = "Call price: %4.2f; Put price: %4.2f"
c1, p1 = mcprices(S0, K, T, r, sigma, N=10000)
print msg % (c1, p1)
c1, p1 = mcprices2(S0, K, T, r, sigma, N=10000)
print msg % (c1, p1)
# FIXME: this is not a new-student-friendly technique
# Get black scholes equation from other directory
#
import os, sys
fullpath = os.path.abspath(__file__)
direc = os.sep.join([os.path.split(os.path.split(fullpath)[0])[0],
'black_scholes'])
sys.path.insert(0, direc)
from black_scholes_solution import bsprices
c1, p1 = bsprices(S0, K, T, r, sigma)
print msg % (c1, p1)
sys.path.pop()
