Simple chooser options with Maple

• Authors: Anna Milian
• Languages of publication: PL

Abstracts

PL

This paper discusses Monte Carlo simulations of the Black-Scholes model. It is introduced with the simple example of the pricing of ‘European call options on a no-dividend stock and the simulation results are compared with an analytical solution. Monte-Carlo methods are then used to price simple chooser options. Moreover, it is shown that the distribution of rate of the return from investment in simple chooser options is significantly dependent on the strike price. The presented simulation is performed using MAPLE.

Keywords

PL

simple chooser options, Black-Scholes model, Monte Carlo method

• Publisher: [unknown2]
• Journal: Czasopismo Techniczne
• Year: -

Dates

online

2015-04-09

Contributors

author

Anna Milian