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