asian opt refactor

open-atmos · Dec 16, 2024 · 9a69d98 · 9a69d98
1 parent 187b096
commit 9a69d98
Showing 1 changed file with 11 additions and 0 deletions.
diff --git a/examples/PyMPDATA_examples/asian_option/Mkhize_2007.py b/examples/PyMPDATA_examples/asian_option/Mkhize_2007.py
@@ -0,0 +1,11 @@
+import numpy as np
+from scipy.stats import norm
+
+def geometric_mkhize(s_t=100, K=100, r=0.008, sigma=0.2, T=30, T_0=0):
+    d_1 = (np.log(s_t / K) + 0.5 * (r + (sigma ** 2) / 6) * (T - T_0)) / (sigma * np.sqrt((T - T_0) / 3))
+    d_2 = d_1 - sigma * np.sqrt((T - T_0) / 3)
+    C_0 = s_t * np.exp(-0.5 * (r + (sigma ** 2) / 6) * (T - T_0)) * norm.cdf(d_1) - K * np.exp(
+        -r * (T - T_0)) * norm.cdf(d_2)
+    P_0 = K * np.exp(-r * (T - T_0)) * norm.cdf(-d_2) - s_t * np.exp(
+        -0.5 * (r + (sigma ** 2) / 6) * (T - T_0)) * norm.cdf(-d_1)
+    return C_0