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European_Option_Pricing_Mente_Carlo_Simulation

于 2009-04-16 发布文件大小:135KB

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根据BS公式，通过Mente Carlo模拟对欧式期权进行定价的源码。即使不是做期权定价的，该源码也是一个非常好的理解如何做Mente Carlo模拟的实例。(Based on the Black-Scholes formula, codes for pricing the European options through the Mente Carlo simulation. It is a very good example for your understanding of how to do Mente Carlo simulation, even if you do not engage in the option pricing.)

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European_Option_Pricing_Mente_Carlo_Simulation

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