If you download a PDF on this subject, it will almost certainly cover these five computational techniques.
Used when path-dependence matters (e.g., Asian options looking at average price). mathematical modeling and computation in finance pdf
Z = np.random.standard_normal(M) ST = S0 * np.exp((r - 0.5 * sigma**2) * T + sigma * np.sqrt(T) * Z) If you download a PDF on this subject,
def black_scholes_call(S, K, T, r, sigma): d1 = (np.log(S/K) + (r + 0.5 sigma**2) T) / (sigma np.sqrt(T)) d2 = d1 - sigma np.sqrt(T) return S norm.cdf(d1) - K np.exp(-r*T)*norm.cdf(d2) mathematical modeling and computation in finance pdf