Write a code that conducts a basic Monte Carlo procedure to value a European-type option. The procedure must utilize the Black-Scholes-Merton option pricing model with the following conditions: Initial stock index level = 200 Strike price = 215 Time to maturity = 1year Constant, riskless short rate = 0.03 Constant volatility = 0.2 Monte Carlo procedure should run 50,000 simulations.

Write a code that conducts a basic Monte Carlo procedure to value a European-type option. The procedure must utilize the Black-Scholes-Merton option pricing model with the following conditions: Initial stock index level = 200 Strike price = 215 Time to maturity = 1year Constant, riskless short rate = 0.03 Constant volatility = 0.2 Monte Carlo procedure should run 50,000 simulations.

Programming Logic & Design Comprehensive

9th Edition

ISBN:9781337669405

Author:FARRELL

Publisher:FARRELL

Chapter4: Making Decisions

Section: Chapter Questions

Problem 16RQ

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