# Questions tagged [option-pricing]

Questions about models for the valuation of option contracts.

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### How do you price an option on fresh corn?

I'm preparing for quant interviews, and I had this question for myself. I'm not actually trading corn options. My goal here is just to better understand how to deal with these kinds of options. ...
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### Can call price increase in falling markets

Say SPX falls so much that there is panic and implied volatility(iv) increases so greatly that OTM call prices are increased during the fall due to high iv In my observation in historical data this ...
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### Python - Problem of random numbers in MC simulation

I am interested in estimating the price of a European Call Option using the Montecarlo simulation, to get a good approximation of the analytical Black Scholes formula, so a very simple task. ...
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### Is it fair in an introductory stochastic calculus/derivatives pricing class to ask for the price when absence of arbitrage is violated? [closed]

Re close votes: I believe this is a fair kind of opinion-based question because it's like those ethics questions in academia se or workplace se or because it's pedagogical. Context: I'm actually ...
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### Reference for path dependent options

I want to study path dependent options for which I am following the book Paul Wilmott on Quantitative finance.But here I dont find the detailed explanations or derivations for the various PDEs .So is ...
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### Approximating second derivatives at boundary of finite difference scheme

The Question I am implementing a finite difference scheme for the Heston-Hull-White PDE: \begin{align} \frac{\partial u}{\partial t} &= \frac{1}{2}s^2v\frac{\partial^2 u}{\partial s^2 } + \frac{1}{...
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### Difference in pricing of American call and put

In Paul Wilmotts quantitative finance books he says that the the value of an American option satisfies the following  \frac{\partial V}{\partial t}+\frac{1}{2}\sigma^2S^2 \frac{\partial^2V}{\partial ...
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