black_scholes.py第154行如下:
# Check if option price meets minimum value (exercise value)
meet: bool = False
if cp == 1 and (price > (s - k) * exp(-r * t)):
meet = True
elif cp == -1 and (price > k * exp(-r * t) - s):
meet = True
black_76.py第154行如下:
# Check if option price meets minimum value (exercise value)
meet: bool = False
if cp == 1 and (price > (s - k) * exp(-r * t)):
meet = True
elif cp == -1 and (price > k * exp(-r * t) - s):
meet = True
两者一模一样,应该有一个是错误的。因为black_76.py中的s实际上指f,个人认为应该修订如下,不知道对不对?
black_scholes.py的第154行:
# Check if option price meets minimum value (exercise value)
meet: bool = False
if cp == 1 and (price > s - k * exp(-r * t)):
meet = True
elif cp == -1 and (price > k * exp(-r * t) - s):
meet = True
black_76.py的第154行:
# Check if option price meets minimum value (exercise value)
meet: bool = False
if cp == 1 and (price > (s - k) * exp(-r * t)):
meet = True
elif cp == -1 and (price > (k - s) * exp(-r * t)):
meet = True
希望您能够指点一下。