Python for Finance: Analyze Big Financial Data

Figure 3-3. Histogram of all simulated end-of-period index level values

Figure 3-4. Histogram of all simulated end-of-period option inner values

In this case, the majority of the simluated values are zero, indicating that the European call

option expires worthless in a significant amount of cases. The exact number is generated

through the following calculation:

In  [ 32 ]: sum(S[- 1 ] <   K)

Out[32]:    133533

This number might vary somewhat, of course, from simulation to simulation.