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    HW12

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    baoxinhe6

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    HW12

    Uploaded by

    baoxinhe6
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    Copyright:

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    Download as ppt, pdf, or txt
    11 views8 pages

    HW12

    Uploaded by

    baoxinhe6

    Copyright:

    © All Rights Reserved
    Download as PPT, PDF, TXT or read online from Scribd
    Download as ppt, pdf, or txt
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    HW12

    鮑欣禾 112071469
    筆記
    Rand + Box Muller
    import numpy as np
    from scipy.stats import norm
    def blsprice(S0, X, r, T, sigma):
    """
    计算欧式看涨和看跌期权的 Black-Scholes 价格。
    参数 :
    S0 - 标的资产初始价格
    X - 执行价格
    r - 无风险利率
    T - 到期时间（年化）
    sigma - 波动率
    返回 :
    call_price - 看涨期权价格
    put_price - 看跌期权价格
    """
    d1 = (np.log(S0 / X) + (r + 0.5 * sigma ** 2) * T) / (sigma * np.sqrt(T))
    d2 = d1 - sigma * np.sqrt(T)
    call_price = S0 * norm.cdf(d1) - X * np.exp(-r * T) * norm.cdf(d2)
    put_price = X * np.exp(-r * T) * norm.cdf(-d2) - S0 * norm.cdf(-d1)
    return call_price, put_price
    Rand + Box Muller
    def bls_rand(S0, X, r, T, sigma, NPoints):
    """
    使用 Box-Muller 变换和随机数生成欧式看涨期权的 Monte Carlo 价格。

    S0 - 标的资产初始价格 ， X - 执行价格， r - 无风险利率， T - 到期时间（年化）， sigma - 波动率， NPoints - 模拟点


    数
    返回 :
    Price - 欧式看涨期权的 Monte Carlo 价格
    """
    nuT = (r - 0.5 * sigma ** 2) * T
    siT = sigma * np.sqrt(T)
    # 使用 Box-Muller 生成标准正态随机数
    U1 = np.random.rand(int(np.ceil(NPoints / 2)))
    U2 = np.random.rand(int(np.ceil(NPoints / 2)))
    VLog = np.sqrt(-2 * np.log(U1))
    Norm1 = VLog * np.cos(2 * np.pi * U2)
    Norm2 = VLog * np.sin(2 * np.pi * U2)
    Norm = np.concatenate([Norm1, Norm2])
    DiscPayoff = np.exp(-r * T) * np.maximum(0, S0 * np.exp(nuT + siT * Norm) - X)
    Price = np.mean(DiscPayoff)

    return Price
    Rand + Box Muller
    # 参数
    S0 = 50
    X = 52
    r = 0.1
    T = 5 / 12
    sigma = 0.4
    NRepl = 5000

    # 计算期权价格
    call_price, put_price = blsprice(S0, X, r, T, sigma)
    rand_price = bls_rand(S0, X, r, T, sigma, NRepl)

    print("Black-Scholes 看涨期权价格 :", call_price)


    print("Black-Scholes 看跌期权价格 :", put_price)
    print("Monte Carlo 看涨期权价格 ( 使用 Rand + Box-Muller):", rand_price)
    Halton + Box Muller: European
    Put
    import numpy as np

    def get_halton(how_many, base):


    seq = np.zeros(how_many)
    num_bits = 1 + int(np.ceil(np.log(how_many) / np.log(base)))
    vet_base = base ** (-(np.arange(1, num_bits + 1).astype(float)))
    work_vet = np.zeros(num_bits)

    for i in range(how_many):
    # Increment last bit and carry over if necessary
    j=0
    while True:
    work_vet[j] += 1
    if work_vet[j] < base:
    break
    work_vet[j] = 0
    j += 1
    seq[i] = np.dot(work_vet, vet_base)

    return seq
    Halton + Box Muller: European
    Put
    def Ep_halton(S0, X, r, T, sigma, NPoints, Base1, Base2):
    nuT = (r - 0.5 * sigma ** 2) * T
    siT = sigma * np.sqrt(T)

    # Use Box-Muller to generate standard normals


    H1 = get_halton(int(np.ceil(NPoints / 2)), Base1)
    H2 = get_halton(int(np.ceil(NPoints / 2)), Base2)

    VLog = np.sqrt(-2 * np.log(H1))


    Norm1 = VLog * np.cos(2 * np.pi * H2)
    Norm2 = VLog * np.sin(2 * np.pi * H2)
    Norm = np.concatenate([Norm1, Norm2])

    DiscPayoff = np.exp(-r * T) * np.maximum(0, X - S0 * np.exp(nuT + siT * Norm))


    Price = np.mean(DiscPayoff)

    return Price
    Halton + Box Muller: European
    Put
    S0 = 50
    X = 52
    r = 0.1
    T = 5 / 12
    sigma = 0.4
    NRepl = 5000
    Base11, Base12 = 2, 7
    Base21, Base22 = 11, 7
    Base31, Base32 = 2, 4

    Halton27 = Ep_halton(S0, X, r, T, sigma, NRepl, Base11, Base12)


    Halton117 = Ep_halton(S0, X, r, T, sigma, NRepl, Base21, Base22)
    Halton24 = Ep_halton(S0, X, r, T, sigma, NRepl, Base31, Base32)

    print("Halton27:", Halton27)
    print("Halton117:", Halton117)
    print("Halton24:", Halton24)

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