Up to now, we discussed European and American options in Chapter 9, The Black-Scholes-Merton Option Model, which are also called vanilla options. One of the characters is path independent. On the other hand, exotic options are more complex since they might have several triggers relating to the determination of their payoffs. An exotic option could include nonstandard underlying instrument developed for particular investors, banks, or firms. Exotic options usually are traded over-the-counter (OTC). For exotic options, we don't have closed-form solutions, such as the Black-Scholes-Merton model. Thus, we have to depend on other means to price them. The Monte Carlo simulation is one of the ways to price many exotic options. In the next several subsections, we show how to price Asian options, digit options, and barrier options.
Python for Finance
By :
Python for Finance
By:
Overview of this book
Table of Contents (20 chapters)
Python for Finance
Credits
About the Author
Acknowledgments
About the Reviewers
www.PacktPub.com
Preface
Free Chapter
Introduction and Installation of Python
Using Python as an Ordinary Calculator
Using Python as a Financial Calculator
13 Lines of Python to Price a Call Option
Introduction to Modules
Introduction to NumPy and SciPy
Visual Finance via Matplotlib
Statistical Analysis of Time Series
The Black-Scholes-Merton Option Model
Python Loops and Implied Volatility
Monte Carlo Simulation and Options
Volatility Measures and GARCH
Index
Customer Reviews