zoukankan      html  css  js  c++  java
  • python-期权定价

     1 from math import log,sqrt,exp
     2 from scipy import stats
     3 
     4 def bsm_call_value(S0,K,T,r,sigma):
     5     S0 = float(S0)
     6     d1 = (log(S0 / K) + (r + 0.5 * sigma ** 2) * T) / (sigma * sqrt(T))
     7     d2 = (log(S0 / K) + (r - 0.5 * sigma ** 2) * T) / (sigma * sqrt(T))
     8     value = (S0 * stats.norm.cdf(d1,0.0,1.0) - K * exp(-r * T) * stats.norm.cdf(d2,0.0,1.0))
     9     print value
    10     return value
    11 
    12 def bsm_vega(S0,K,T,r,sigma):
    13     S0 = float(S0)
    14     d1 = (log(S0 / K) + (r + 0.5 * sigma ** 2) * T) / (sigma * sqrt(T))
    15     vega = S0 * stats.norm.cdf(d1,0.0,1.0) * sqrt(T)
    16     return vega
    17 
    18 def bsm_call_imp_vol(S0,K,T,r,C0,sigma_est,it = 100):
    19     for i in range(it):
    20         sigma_est -= ((bsm_call_value(S0,K,T,r,sigma_est) - C0) / bsm_vega(S0,K,T,r,sigma_est))
    21     print sigma_est
    22     return sigma_est
    23 
    24 S0 = 100
    25 K = 105
    26 T = 1.0
    27 r = 0.05
    28 sigma = 0.2
    29 bsm_call_value(S0,K,T,r,sigma)
  • 相关阅读:
    8.18学习日志
    8.17学习日志
    8.15学习日志
    8.14学习日志
    8.13学习日志
    8.12学习日志
    8.11学习日志
    kindle
    xcode 4 安装cocos2d-x 2.1.4
    GUI之CCControlExtension
  • 原文地址:https://www.cnblogs.com/wn19910213/p/5103819.html
Copyright © 2011-2022 走看看