使用 Heston 的亞洲期權定價 Model 使用 QuantLib Python

Question

我正在嘗試使用 QuantLib 為具有幾何平均類型的亞洲期權定價。 但是，我似乎無法計算 NPV 或任何希臘語。 我收到以下錯誤： RuntimeError: wrong argument type 。

請在下面找到我的代碼。

導致錯誤的行是這一行：“AsianOptionHeston.NPV()”

valuationDate = ql.Date(30, 6, 2020)
ql.Settings.instance().evaluationDate = valuationDate
maturityDate = ql.Date(30, 9, 2022)
calendar = ql.UnitedStates()
dayConvention = ql.Actual360()
businessConvention = ql.Following
optionType = ql.Option.Call
strike = 125
s0 = 110
volatility = 0.2
dividendYield = 0.0368
averageType = ql.Average.Geometric
dividendTermStructure = ql.YieldTermStructureHandle(ql.FlatForward(valuationDate, dividendYield, dayConvention))
discountingTermStructure = ql.YieldTermStructureHandle(ql.FlatForward(valuationDate, 0.03, dayConvention))
exerciseType = ql.EuropeanExercise(maturityDate)
payoff = ql.PlainVanillaPayoff(optionType, strike)
AsianOptionHeston = ql.DiscreteAveragingAsianOption(averageType, 0, 1, [ql.Date(31, 3, 2021)], payoff, exerciseType)
v0 = 0.2 * 0.2 # Spot variance
kappa = 0.1
sigma = 0.015 # Volatility of volatility
correlation = -0.75
spotHandleHeston = ql.QuoteHandle(ql.SimpleQuote(s0))
hestonProcess = ql.HestonProcess(discountingTermStructure, dividendTermStructure, spotHandleHeston, v0, kappa, v0, sigma, correlation)
engineHeston = ql.AnalyticHestonEngine(ql.HestonModel(hestonProcess), 0.01, 1000)
AsianOptionHeston.setPricingEngine(engineHeston)
AsianOptionHeston.NPV()

Answer 1

AnalyticHestonEngine不適合為亞洲期權定價。 嘗試此處列出的引擎之一：

QuantLib Python 參考