Calcular o valor de uma Opção Europeia Call

import math
import numpy as np

# Valor dos parametros
S0 = 100.  # initial index level
K = 105.  # strike price
T = 1.0  # time-to-maturity
r = 0.05  # riskless short rate
sigma = 0.2  # volatility

I = 100000  # number of simulations

# Valuation Algorithm
z = np.random.standard_normal(I)  # pseudo-random numbers
# index values at maturity
ST = S0 * np.exp((r - 0.5 * sigma ** 2) * T + sigma * math.sqrt(T) * z)
hT = np.maximum(ST - K, 0)  # payoff at maturity
C0 = math.exp(-r * T) * np.mean(hT)  # Monte Carlo estimator

# Result Output
print('Value of the European call option {:5.3f}.'.format(C0))