make_european_call_pricing_objective

fireopal.make_european_call_pricing_objective(strike_price, rescaling_factor, bounds=None)

Create parameters for a European call option pricing objective.

Parameters

• strike_price (float) – The strike price K of the option.
• rescaling_factor (float) – Approximation scaling factor for the linear payoff.
• bounds (tuple [ float , float ] or None , optional) – Bounds of the discretized random variable. Default is None.

Returns

dict[str, Any] – A dictionary containing the parameters of the European call option pricing objective, suitable for use with make_monte_carlo_problem().