Python for Finance: Analyze Big Financial Data

[ 36 ]

Cf. http://docs.scipy.org/doc/numpy/reference/routines.random.html.

[ 37 ]

Cf. http://docs.scipy.org/doc/numpy/reference/routines.random.html.

[ 38 ]

The described method works for symmetric median 0 random variables only, like standard normally distributed

random variables, which we almost exclusively use throughout.

[ 39 ]

For algorithmic details, refer to Hilpisch (2015).

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Since we do not assume any dividend payments (having an index in mind), there generally is no early exercise

premium for call options (i.e., no incentive to exercise the option early).