Simulating Call Option Variance Reduction

A common shortcoming of standard Monte Carlo Simulation is the required computing resources and time. MC simulation typically has an error variance of σ2/n.To achieve a desired accuracy in a crude MC simulation, the sampling is conducted with a larger value of n. But this approach decreases the efficiency of the simulation. In this post, I will explore few […]

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Binomial Option Pricing Excel

A Primer on Binomial Option Pricing A binomial tree represents the different possible paths a stock price can follow over time.To define a binomial tree model, a basic period length is established, such as a month. If the price of a stock is known at the beginning of a period, the price at the beginning […]

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