Esempio n. 1
0
 def test_option_price_call_american_proportional_dividends_binomial(self):    
     S = 100
     K = 100
     r = 0.10
     sigma = 0.25
     time = 1.0
     steps = 100
     dividend_times = [0.25, 0.75]
     dividend_yields = [0.025, 0.025]
     test_val = Amop.option_price_call_american_proportional_dividends_binomial(S, 
             K, r, sigma, time, steps, dividend_times, dividend_yields)
     self.assertEqual(str(round(test_val, 4)), "11.8604")