chore: import upstream snapshot with attribution

Algorithm.Python/OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm.py

@@ -0,0 +1,32 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from AlgorithmImports import *
+from OptionPriceModelForOptionStylesBaseRegressionAlgorithm import OptionPriceModelForOptionStylesBaseRegressionAlgorithm
+
+### <summary>
+### Regression algorithm exercising an equity covered European style option, using an option price model
+### that supports European style options and asserting that the option price model is used.
+### </summary>
+class OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm(OptionPriceModelForOptionStylesBaseRegressionAlgorithm):
+    def initialize(self):
+        self.set_start_date(2021, 1, 14)
+        self.set_end_date(2021, 1, 14)
+
+        option = self.add_index_option("SPX", Resolution.HOUR)
+        # BlackScholes model supports European style options
+        option.price_model = OptionPriceModels.black_scholes()
+
+        self.set_warmup(7, Resolution.DAILY)
+
+        self.init(option, option_style_is_supported=True)