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Results tagged with monte-carlo
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user 61449
Monte Carlo simulation methods are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results.
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Difference between closed form binomial option value and monte carlo simulation
I am trying to calculate the price of a European call option using both the the closed form expression and a monte carlo simulation. But the value's I get from both these methods are not the same:
Clo …
- 31
2
votes
Accepted
Difference between closed form binomial option value and monte carlo simulation
Okay i found the problem, my implementation of binomial pricing was wrong.
This python implementation:
T = 10 # Number of periods
S0 = 8 # Starting price of stock
K = 9 # Strike price of option
r = 0. …
- 31