c14_20_lookback_min_price_as_strike.py 文件源码

def lookback_min_price_as_strike(s,T,r,sigma,n_simulation): 
    n_steps=100
    dt=T/n_steps
    total=0
    for j in range(n_simulation): 
        min_price=100000.   # a very big number 
        sT=s
        for i in range(int(n_steps)): 
            e=sp.random.normal()
            sT*=sp.exp((r-0.5*sigma*sigma)*dt+sigma*e*sp.sqrt(dt)) 
            if sT<min_price:
                min_price=sT
                #print 'j=',j,'i=',i,'total=',total 
                total+=p4f.bs_call(s,min_price,T,r,sigma)
    return total/n_simulation

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