python期权定价公式_python-期权定价

http://www.cnblogs.com/wn19910213/p/5103819.html

1 from math import log,sqrt,exp

2 from scipy import stats

3

4 def bsm_call_value(S0,K,T,r,sigma):

5 S0 = float(S0)

6 d1 = (log(S0 / K) + (r + 0.5 * sigma ** 2) * T) / (sigma * sqrt(T))

7 d2 = (log(S0 / K) + (r - 0.5 * sigma ** 2) * T) / (sigma * sqrt(T))

8 value = (S0 * stats.norm.cdf(d1,0.0,1.0) - K * exp(-r * T) * stats.norm.cdf(d2,0.0,1.0))

9 print value

10 return value

11

12 def bsm_vega(S0,K,T,r,sigma):

13 S0 = float(S0)

14 d1 = (log(S0 / K) + (r + 0.5 * sigma ** 2) * T) / (sigma * sqrt(T))

15 vega = S0 * stats.norm.cdf(d1,0.0,1.0) * sqrt(T)

16 return vega

17

18 def bsm_call_imp_vol(S0,K,T,r,C0,sigma_est,it = 100):

19 for i in range(it):

20 sigma_est -= ((bsm_call_value(S0,K,T,r,sigma_est) - C0) / bsm_vega(S0,K,T,r,sigma_est))

21 print sigma_est

22 return sigma_est

23

24 S0 = 100

25 K = 105

26 T = 1.0

27 r = 0.05

28 sigma = 0.2

29 bsm_call_value(S0,K,T,r,sigma)

转载于:https://www.cnblogs.com/wn19910213/p/5103819.html

标签：est,python,期权,S0,value,bsm,sqrt,定价,sigma

来源： https://blog.csdn.net/weixin_30627381/article/details/97546172