def pricer(self, S0, K, r, T, N, sigma,
is_call=True, div=0., is_eu=False):
model = BinomialCRROption(S0, K, r, T, N,
{"sigma": sigma,
"div": div,
"is_call": is_call,
"is_eu": is_eu})
return model.price()
def _option_valuation_( self, K, sigma, model ):
""" Do valuation based on given model:
Binomial, CRR...
"""
if model.upper() == "CRR":
option = BinomialCRROption(
self.S0, K, self.r, self.T, self.N,
{ "sigma":sigma,
"is_call":self.is_call,
"div": self.div } )
else:
option = BinomialTreeOption(
self.S0, K, self.r, self.T, self.N,
{ "sigma":sigma,
"is_call":self.is_call,
"div": self.div } )
return option.price()
======
This file contains Python codes.
======
"""
""" Price an option by the binomial CRR model """
from BinomialTreeOption import BinomialTreeOption
import math
class BinomialCRROption(BinomialTreeOption):
def _setup_parameters_(self):
self.u = math.exp(self.sigma * math.sqrt(self.dt))
self.d = 1./self.u
self.qu = (math.exp((self.r-self.div)*self.dt) -
self.d)/(self.u-self.d)
self.qd = 1-self.qu
if __name__ == "__main__":
from BinomialCRROption import BinomialCRROption
eu_option = BinomialCRROption(
50, 50, 0.05, 0.5, 2,
{"sigma": 0.3, "is_call": False})
print ("European put: %s" % eu_option.price())
am_option = BinomialCRROption(
50, 50, 0.05, 0.5, 2,
{"sigma": 0.3, "is_call": False, "is_eu": False})
print ("American put: %s" % am_option.price()
