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mc-option-simulator-yale
Advanced tools
CLI for Geometric Brownian Motion and Black Scholes Math for Monte Carlo Simulation
pip install using:
pip install mc-option-simulator-yale
import the module using:
from montecarlo.MonteCarloSimulation import MonteCarloSimulation
classes:
class MonteCarloSimulation:
Methods belong to MonteCarloSimulation
def __init__(self, stock_value, strike, volatility):
self.stock_value = stock_value
self.risk_free_interest = RISK_FREE_INTEREST
self.strike = strike
self.sigma = volatility
self.delta_time = DELTA_TIME
self.T = TIME
self.steps = steps
self.simulations = simulations
self.payoffs = []
def Geometric_Brownian_Motion(self, option_type="call"):
def Black_Scholes(self, option_type="call".lower())
Full class and method details omitted, refer to the code to see full implementation.
FAQs
CLI for Geometric Brownian Motion and Black Scholes Math for Monte Carlo Simulation
We found that mc-option-simulator-yale demonstrated a healthy version release cadence and project activity because the last version was released less than a year ago. It has 1 open source maintainer collaborating on the project.
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