Options Trading, Call, Put, Monte Carlo, Tejapi Quant.
variate function with optimal c* SPATH2 = np.zeros((Nrep, 1 + Nsteps)) SPATH2[:, 0] =S0 dt = T / Nsteps nudt = (r - 0.5 * sigma **2) * dt sidt = sigma * np.sqrt(dt) for i in range(0,Nrep): for j in range(0,Nsteps): SPATH2[i,j+1] = SPATH2[i,j] * np.exp(nudt + sidt * np.random.normal()) S = SPATH2[:,