The Quant Journey
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The Quant Journey

Monte Carlo Simulation for Black-Scholes Option Pricing

In this article we will look at applying Monte Carlo simulation to price both a European Call and Put Option, following the Black-Scholes Market Model using Risk-Neutral Pricing.

  1. The Black-Scholes Market Model
  2. Risk-Neutral Measure
  3. Call Option Pricing and Monte Carlo Simulation




This is a repository of information regarding everything quantitative. I am building my knowledge as I go, therefore this is a journey for both me as a contributor and you as a reader as we venture in to the world of mathematics, programming, statistics, finance and business.

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Andrea Chello

Andrea Chello

Quant | Full-Stack Blockchain Developer

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