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A contract that gives the owner the right, but not the obligation, to buy or sell a security at a fixed price in the future.
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 …
1
vote
1
answer
3k
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Finite Difference Method in Greeks (Options)
I need a way to approximate the analytical formula of Greeks of a generic call option using the Finite Difference Method.
For example, the FD method for Delta/Gamma is the following one:
Now, I am i …