elle
(Elle)
#1
The Implementation
The translation of the formula as presented in Equation 14-2 to Python is, as usual, quite
straightforward. Example 14-8 shows the code of a Python module with such a valuation
function. We call the script vol_pricing_formula.py and store it in a sub-directory,
volservice.
Example 14-8. Python script for volatility option valuation