Untitled
user_0311771714
plain_text
3 years ago
506 B
4
Indexable
using Nemo using CharFuncPricing R = ArbField(256) CC = AcbField(256) r= R(QQ(3, 100)); q = R(QQ(0, 100)) κ = R(2*rand()); θ = R(QQ(225, 100000)); σ = R(0.25); v0 = R(QQ(225, 10000)); ρ = R(-0.5); τ = R(1.0) spot = R(110); strike = R(100) isCall = true spot *= exp((r - q) * τ) df = exp(-r * τ) params = HestonParams(v0, κ, θ, ρ, σ) l = 48; m = 1024*4 pricer = makeCosCharFuncPricer(CC, R, const_pi(R), params, τ, m, l) priceEuropean(pricer, isCall, strike, spot, df) #2*rand()
Editor is loading...