c14_26_up_and_out_call2.py 文件源码

def up_and_out_call(s0,x,T,r,sigma,n_simulation,barrier):
    n_steps=100.
    dt=T/n_steps 
    total=0
    for j in range(0, n_simulation): 
        sT=s0
        out=False
        for i in range(0,int(n_steps)): 
            e=sp.random.normal()
            sT*=sp.exp((r-0.5*sigma*sigma)*dt+sigma*e*sp.sqrt(dt)) 
            if sT>barrier:
                out=True 
    if out==False:
       total+=p4f.bs_call(s0,x,T,r,sigma) 
    return total/n_simulation
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