Monte Carlo Simulation for Black-Scholes Option Pricing

Andrea Chello
The Quant Journey
Published in
7 min readApr 24, 2022

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