August 2022
Intermediate to advanced
689 pages
15h 46m
French
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ANNEXE B Classe d’options BSM
Définition de la classe
Voici la définition d’une classe pour une option call européenne selon le modèle Black-Scholes-Merton (1973). Cette implémentation constitue une alternative à l’approche basée fonctions vue dans la présentation du script Python tout à la fin du Chapitre 12.
#
# Evaluation d'options call européennes selon Black-Scholes-Merton
# avec estimation du vega et de la volatilité implicite
# -- implémentation basée classe
#
# Python for Finance, 2nd ed.
# (c) Dr. Yves J. Hilpisch
#
from math import log, sqrt, exp
from scipy import stats
class bsm_call_option(object):
''' Classe d'options call européennes en modèle BSM.
Attributs
=========
S0: float
cote/indice initial
K: float
prix d'exercice strike
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