Hi, I would like to find out how I can perform Monte Carlo Simulation in Matlab, specifically for pricing European Call Options in a Black-Scholes World. I don't see the function in the Financial Toolbox, and I don't know if Simulink performs the function.
Then just calculate the value of the option at every note and discount to present time. I could send you a file, but i don't think it's really going to help you because it's really messy Let me know if you want the file: Hi Hendri, Yes, please send your file to me.
Regards, Weng Kit tanwengkit yahoo. I don't see the function in the Financial I am confused by your question. If you want to price a European Call Option "in a Black Scholes World," why would you want to perform a Monte Carlo simulation?
You are assuming that Black Scholes is valid, so you just want the Black Scholes price. This function uses normcdf, the normal cumulative distribution function in the Statistics Toolbox. Abe, simulating the Black-Scholes world can give a better insight in what's happening. Furthermore it allows for calculation of option prices of exotic options eg.
So this method is really useful, but take care to estimate the underlying process correctly and using enough simulations to get acuarate. Weng-Kit, I've send you an e-mail and it should arrive by now I know why someone would want to run Monte Carlo simulation for generalized options pricing.
But why should it be restricted to a "Black-Scholes World? Hi, Most likely he is a student and his lecturer has asked him to start off by simulating a BLS price so that he is able to check his results using the now famous formula.
From there they will probably do barriers, asians etc. Hi Hendri, Just reading through this thread. Sounds like you know what you're talking about and wondering if I could take a look at the file you sent to Weng-Kit? I am a student doing an independent study this term ie. You can add tags, authors, threads, and even search results to your watch list. This way you can easily keep track of topics that you're interested in.
Pricing Barrier Options Using Monte Carlo Methods | Option (Finance) | Computer Simulation
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Monte Carlo methods for option pricing - Wikipedia
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