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Results tagged with option-pricing
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user 55114
Questions about models for the valuation of option contracts.
-2
votes
2
answers
228
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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. Performin …
- 45
0
votes
1
answer
792
views
Control Variates - Option pricing
I am trying to reduce the Monte Carlo variance with Control Variates technique. In practice, I am able to reduce it with a generic European Call option, with the following formulas:
$$ Z_{CV} = \frac{ …
- 45
0
votes
1
answer
190
views
Montecarlo pricing
I have some problems with the Montecarlo simulation to price a generic Call option. I want to explain something regarding MC simulation with a simple cases, and after that I am going to talk about my …
- 45