Harbourfront Technologies

Valuing European Options Using Monte Carlo Simulation- Derivative Pricing in Python


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To price the options, we first simulate the price paths using the following Stochastic Differential Equation. The simulation is carried out until the options’ maturity. We then apply the terminal payoff functions and calculate the mean values of all the payoffs. Finally, we discount the mean values to the present and thus obtain the option values.
http://tech.harbourfronts.com/derivatives/valuing-european-options-using-monte-carlo-simulation-derivative-pricing-python/
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Harbourfront TechnologiesBy Harbourfront Technologies