Some methods for the Black Scholes Options Model, which demonstrates several approaches to the valuation of a European call.
asset_path(s0, mu, sigma, t1, n) Simulates the behavior of an asset price over time.
s0 : float, asset price at...
Methods to implement Markov Chain Monte Carlo Simulation (MCMC)
markov_chain(weights, actions, target_path, position, last_value) a basic implementation of the markov chain algorithm
weights : float array, weights of the Markov Chain.
actions : float array, actions of the Markov Chain.
target_path : float...