亚式看跌期权定价的代码

亚式看跌期权的定价可以使用隐式有限差分法进行求解。这里提供一个示例代码：

import numpy as np

def asian_put_option_price(S, K, r, sigma, T, M, N):
    dt = T / N
    ds = S / M

    u = np.exp(sigma * np.sqrt(dt))
    d = 1 / u
    p = (np.exp(r * dt) - d) / (u - d)

    S_values = np.zeros((N + 1, M + 1))
    V_values = np.zeros((N + 1, M + 1))

    # Initialize stock price values at expiration
    for j in range(M + 1):
        S_values[N][j] = S * (u ** (M - j)) * (d ** j)
        V_values[N][j] = max(K - S_values[N][j], 0)

    # Backward recursion for option price
    for i in range(N - 1, -1, -1):
        for j in range(i + 1):
            S_values[i][j] = S * (u ** (i - j)) * (d ** j)
            V_values[i][j] = np.exp(-r * dt) * (p * V_values[i + 1][j] + (1 - p) * V_values[i + 1][j + 1])

    return V_values[0][0]

# Example usage
S = 100  # Stock price
K = 100  # Strike price
r = 0.05  # Risk-free interest rate
sigma = 0.2  # Volatility
T = 1  # Time to maturity
M = 100  # Number of price steps
N = 100  # Number of time steps

asian_put_price = asian_put_option_price(S, K, r, sigma, T, M, N)
print("Asian put option price:", asian_put_price)