Options Trading, Call, Put, Monte Carlo, Tejapi Quant.
Numbers of stock path Npilot: Time period for obtaining optimal c* def mc_options_CV(CallOrPut, K, S0, r, sigma, T, Nsteps, Nrep, Npilot): # Calculate covariance between stock and options price SPATH = np.zeros((Npilot, 1 + Nsteps)) SPATH[:, 0] = S0 dt = T / Nsteps nudt = (r - 0.5 * sigma **2) * dt