Pricing european call and put optionsusing the monte carlo, Ask an Expert

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Pricing European call and put options

Using the Monte Carlo (MC) simulation, evaluate ‘at-the-money’ (i.e., the strike price is equal to the current stock price) European call and put options on an underlying stock with 2000, 4000, 6000, 8000, 10000, and 12,000 sample paths. Plot the call and put options prices against the number of sample paths. Now, determine the values of the call and put options applying the Black-Scholes (BS) option pricing model. Compare and explain the results obtained from the MC simulation and the BS model.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92861052

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