0
$\begingroup$

How would I solve the following question? Im unsure how to estimate the stock price using MCS.

enter image description here

$\endgroup$
  • 1
    $\begingroup$ Are you familiar with the so-called Normal Delta Method of calculating VaR? You replace the option with a leveraged position in the stock, based on the delta. And you assume that stock returns are normally distributed. $\endgroup$ – noob2 May 13 at 1:22

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.