Option price monte carlo. You can cross validate the pricing on http://www.optioncombo.com/#

option.py

from math import exp
from random import gauss, shuffle
interest=.01
vol=.15
T = 1.0/365

def moved(x, _):
    return x * exp((interest-.5*vol**2)*T + vol*T**.5*gauss(0,1))

St0=400.0
DTE=30

def end_price(price):
    return reduce(moved, range(DTE), price)

put_strike=395.0

trials=1000

def pos(price):
    return price > 0

def shuffled(lst):
    l = list(lst)
    shuffle(l)
    return l

def avg(lst):
    return sum(lst)/len(lst)

paths = [end_price(St0) for x in range(trials)]

payoffs = [max(0, put_strike - price) for price in paths]

put_price = avg(payoffs)

pnls = [put_price-price for price in payoffs]
fpnls = pnls
pnls2 = shuffled(fpnls)
pnls3 = shuffled(fpnls)
pnls4 = shuffled(fpnls)
pnls5 = shuffled(fpnls)

all_pnls = [pnls2[i] + pnls3[i]  for i in range(len(pnls2))]

print put_price
print sum(pnls)
print 'pop:', len(filter(pos, pnls))/float(len(pnls))
print 'pop:', len(filter(pos, all_pnls))/float(len(all_pnls))