Proceedings of the 2016 2nd International Conference on Economics, Management Engineering and Education Technology (ICEMEET 2016)

The application of Monte Carlo simulation in European call option pricing

Authors
Ze-Wei Zhang, Kun Liu, Zi-Xuan Cao, Zhuo Yang, Zi-Ting Luo, Zhi-Gang Zhang
Corresponding Author
Ze-Wei Zhang
Available Online January 2017.
DOI
10.2991/icemeet-16.2017.184How to use a DOI?
Keywords
Monte Carlo simulation; option pricing; Wiener process
Abstract

Monte Carlo simulation is an effective method to solve the problem of option pricing. This article introduces the definition of option, the classification of option according to different standards and methods to evaluate the option. Then it focuses on the problem of how to use the method of Monte Carlo simulation to solve the option valuation of the European call option. Next it analyzes the algorithm of Wiener process, the algorithm of stock price model, and the algorithm of European call option. Finally it changes some parameters to observe its effect on option valuation. This series of steps show how to use the Monte Carlo simulation method to value the option in detail. After reading this article, even if a beginner can have a preliminary understanding of the options, and write some relevant programs based on this article.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2016 2nd International Conference on Economics, Management Engineering and Education Technology (ICEMEET 2016)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
January 2017
ISBN
10.2991/icemeet-16.2017.184
ISSN
2352-5398
DOI
10.2991/icemeet-16.2017.184How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Ze-Wei Zhang
AU  - Kun Liu
AU  - Zi-Xuan Cao
AU  - Zhuo Yang
AU  - Zi-Ting Luo
AU  - Zhi-Gang Zhang
PY  - 2017/01
DA  - 2017/01
TI  - The application of Monte Carlo simulation in European call option pricing
BT  - Proceedings of the 2016 2nd International Conference on Economics, Management Engineering and Education Technology (ICEMEET 2016)
PB  - Atlantis Press
SP  - 881
EP  - 885
SN  - 2352-5398
UR  - https://doi.org/10.2991/icemeet-16.2017.184
DO  - 10.2991/icemeet-16.2017.184
ID  - Zhang2017/01
ER  -