MCPRICEEUROPE—Monte Carlo calculation of option price

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

MCPRICEEUROPE—Monte Carlo calculation of option price

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MCPRICEEUROPE.RPF is an example of Monte Carlo option pricing. It prices a vanilla European call using Monte Carlo, estimates the standard deviation of the error in this calculation, and compares it with the Black-Scholes value.

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