European Options Pricing Using Monte Carlo Simulation
نویسنده
چکیده
European options can be priced using the analytical solution of the Black-Scholes-Merton differential equation with the appropriate boundary conditions. A different approach and the one commonly used in situations where no analytical solution is available is the Monte Carlo Simulation. We present the results of Monte Carlo simulations for pricing European options and we compare with the analytical solution from the Black-Scholes Merton model. In addition, we examine the effects of the different parameters of a Monte Carlo simulation.
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