Assignment+2.ipynb

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     "text": [
      "Floating Lookback Option:\n",
      "Call price =  0.0\n",
      "Put price =  6.84796443824\n"
     ]
    }
   ],
   "source": [
    "import numpy as np\n",
    "\n",
    "r=0.05\n",
    "S0=100\n",
    "K=110\n",
    "sigma=0.01\n",
    "T=1\n",
    "\n",
    "np.random.randn()\n",
    "\n",
    "EPOCH=10000\n",
    "N=10\n",
    "\n",
    "C=0\n",
    "P=0\n",
    "for i in range(EPOCH):\n",
    "    S_bar=0\n",
    "    S=S0\n",
    "    for j in range(N):\n",
    "        WT=np.random.randn()*np.sqrt(T/N)\n",
    "        S=S*np.exp((r-0.5*sigma**2)*(T/N) + sigma*WT)\n",
    "        S_bar += S\n",
    "    S_bar /= N    \n",
    "    C += max(0,S_bar-K)\n",
    "    P += max(0,K-S_bar)\n",
    "    \n",
    "call_price = (C/EPOCH)*np.exp(-r*T)\n",
    "put_price = (P/EPOCH)*np.exp(-r*T)\n",
    "\n",
    "print('Floating Lookback Option:')\n",
    "print('Call price = ', call_price)\n",
    "print('Put price = ', put_price)"
   ]
  }
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