Tagged Questions
6
votes
2answers
342 views
How to transform process to risk-neutral measure for Monte Carlo option pricing?
I am trying to price an option using the Monte Carlo method, and I have the price process simulations as an inputs. The underlying is a forward contract, so at all times the mean of the simulations is ...
7
votes
2answers
458 views
When to use Monte Carlo simulation over analytical methods for options pricing?
I've been using Monte Carlo simulation (MC) for pricing vanilla options with non-lognormal underlyings returns.
I'm tempted to start using MC as my primary option-valuating technique as I can get ...
4
votes
1answer
338 views
How to apply quasi-Monte Carlo to path-dependent options?
Following up on my recent question on variance reduction in a Cox-Ingersoll-Ross Monte Carlo simulation, I would like to learn more about using a quasi-random sequence, such as Sobol or Niederreiter, ...
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 ...
4
votes
1answer
714 views
Simple model for option premium (for covered call simulation)?
Given a historical distribution of weekly prices and price changes for a stock, how can I estimate the the option premium for a nearly at-the-money (ATM) option, say with an expiration date 3 months ...
