Part III · Simulation and option pricing¶
The last block of the course: turning random numbers into the processes that drive prices, and pricing options on a binomial tree and by Monte Carlo simulation.
| Topic | Exercise | Course no. |
|---|---|---|
| Simulation | The probability integral transform | 146 |
| Simulating Brownian motion | 154 | |
| Simulating geometric Brownian motion | 162 | |
| Option pricing | Pricing European options with a binomial tree | 165 |
| Pricing European options by Monte Carlo | 179 | |
| Pricing an Asian option by Monte Carlo | 180 |