Tagged Questions
7
votes
1answer
310 views
Simulating the joint dynamics of a stock and an option
I want to know the joint dynamics of a stock and it's option for a finite number of moments between now and $T$ the expiration date of the option for a number of possible paths.
Let $r_{\mathrm{s}}$ ...
1
vote
2answers
1k views
Black Scholes and Monte Carlo implementations in Java [duplicate]
Possible Duplicate:
Is there an all Java options-pricing library (preferably open source) besides jquantlib?
Can anyone recommend a library with an implementation of Black Scholes and Monte ...
6
votes
2answers
386 views
Vanilla European options: Monte carlo vs BS formula
I have implemented a monte carlo simulation for a plain vanilla European Option and I am trying to compare it to the analytical result obtained from the BS formula.
Assuming my monte carlo pricer is ...
7
votes
4answers
958 views
Methods for pricing options
I'm looking at doing some research drawing comparisons between various methods of approaching option pricing. I'm aware of the Monte Carlo simulation for option pricing, Black-Scholes, and that ...
