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import numpy as N
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from math import *
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class MCOptionPricer(object):
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def __init__(self, S=100.0, K=100.0, sigma=0.25, r=0.05, days=260, paths=10000):
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self.S = S
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self.K = K
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self.sigma = sigma
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self.r = r
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self.days = days
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self.paths = paths
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self.h = 1.0/self.days
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self.const1 = exp((self.r-0.5*self.sigma**2)*self.h)
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self.const2 = self.sigma*sqrt(self.h)
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def run(self):
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stock_price = self.S*N.ones(self.paths, dtype='float64')
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stock_price_sum = N.zeros(self.paths, dtype='float64')
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for j in range(self.days):
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growth_factor = self.const1*N.exp(self.const2*N.random.standard_normal(self.paths))
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stock_price = stock_price*growth_factor
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stock_price_sum = stock_price_sum + stock_price
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stock_price_avg = stock_price_sum/self.days
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zeros = N.zeros(self.paths, dtype='float64')
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r_factor = exp(-self.r*self.h*self.days)
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self.vanilla_put = r_factor*N.mean(N.maximum(zeros,self.K-stock_price))
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self.asian_put = r_factor*N.mean(N.maximum(zeros,self.K-stock_price_avg))
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self.vanilla_call = r_factor*N.mean(N.maximum(zeros,stock_price-self.K))
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self.asian_call = r_factor*N.mean(N.maximum(zeros,stock_price_avg-self.K))
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def main():
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op = MCOptionPricer()
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op.run()
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print "Vanilla Put Price = ", op.vanilla_put
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print "Asian Put Price = ", op.asian_put
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print "Vanilla Call Price = ", op.vanilla_call
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print "Asian Call Price = ", op.asian_call
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if __name__ == '__main__':
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main()
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