Options Trading, Call, Put, Monte Carlo, Tejapi Quant.
* T) * (np.exp(T * sigma ** 2) - 1) c = -MatCov / VarY ExpY = S0 * np.exp(r*T) else: Pn = np.maximum(K - SPATH[:,-1], 0) * np.exp(-r*T) MatCov = np.cov(Sn, Pn)[0,1] VarY = S0 ** 2 * np.exp(2 * r * T) * (np.exp(T * sigma ** 2) - 1) c = -MatCov / VarY ExpY = S0 * np.exp(r*T) # Applying control