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Paper Information

Journal:   IRANIAN JOURNAL OF MANAGEMENT STUDIES   JANUARY 2013 , Volume 6 , Number 1; Page(s) 7 To 25.
 
Paper: 

APPLICATION OF MONTE CARLO SIMULATION IN THE ASSESSMENT OF EUROPEAN CALL OPTIONS

 
 
Author(s):  SHAHBANDARZADEH HAMID*, SALIMIFARD KHODAKARAM, MOGHDANI REZA
 
* DEPARTMENT OF INDUSTRIAL MANAGEMENT, PERSIAN GULF UNIVERSITY, BUSHEHR, IRAN
 
Abstract: 

In this paper, the pricing of a European call option on the underlying asset is performed by using a Monte Carlo method, one of the powerful simulation methods, where the price development of the asset is simulated and value of the claim is computed in terms of an expected value. The proposed approach, applied in Monte Carlo simulation, is based on the Black-Scholes equation which generally defined the pricing of European call options in a dynamic environment. Therefore, the main goal of this study is how can Monte Carlo be applied to finance? Although it is stated that because of being based on randomness, the Monte Carlo method has its obvious disadvantages and does not yield solutions for all possible stock prices, by applying Black-Scholes formula, it is efficient to use this method for calculating payoff. Hence, in the matter of this paper, we introduce the Black-Scholes model and Monte Carlo simulations as main tools to determine.

 
Keyword(s): EUROPEAN CALL OPTIONS, MONTE CARLO SIMULATION, BLACK-SCHOLES FORMULA
 
 
References: 
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Citations: 
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+ Click to Cite.
APA: Copy

SHAHBANDARZADEH, H., & SALIMIFARD, K., & MOGHDANI, R. (2013). APPLICATION OF MONTE CARLO SIMULATION IN THE ASSESSMENT OF EUROPEAN CALL OPTIONS. IRANIAN JOURNAL OF MANAGEMENT STUDIES, 6(1), 7-25. https://www.sid.ir/en/journal/ViewPaper.aspx?id=354933



Vancouver: Copy

SHAHBANDARZADEH HAMID, SALIMIFARD KHODAKARAM, MOGHDANI REZA. APPLICATION OF MONTE CARLO SIMULATION IN THE ASSESSMENT OF EUROPEAN CALL OPTIONS. IRANIAN JOURNAL OF MANAGEMENT STUDIES. 2013 [cited 2021November28];6(1):7-25. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=354933



IEEE: Copy

SHAHBANDARZADEH, H., SALIMIFARD, K., MOGHDANI, R., 2013. APPLICATION OF MONTE CARLO SIMULATION IN THE ASSESSMENT OF EUROPEAN CALL OPTIONS. IRANIAN JOURNAL OF MANAGEMENT STUDIES, [online] 6(1), pp.7-25. Available: https://www.sid.ir/en/journal/ViewPaper.aspx?id=354933.



 
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