WOLFRAM NOTEBOOK

WOLFRAM|DEMONSTRATIONS PROJECT

Monte Carlo Valuation of an Option

​
show detail?
paths
1000
tenor in weeks
12
Perspective: The call option price is shown as a function of the strike price. The black line comes from the Black-Scholes theory while the red bar (95% confidence band) is a Monte Carlo estimate. The controls are the number of Monte Carlo price paths and the tenor of the option in weeks.
Detail: The distributions of the stock price and the final option payoff are shown. Note that a relatively high percentage of price paths leads to an "out of the money" finish for the option.
Wolfram Cloud

You are using a browser not supported by the Wolfram Cloud

Supported browsers include recent versions of Chrome, Edge, Firefox and Safari.


I understand and wish to continue anyway »

You are using a browser not supported by the Wolfram Cloud. Supported browsers include recent versions of Chrome, Edge, Firefox and Safari.