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Is there a way to simulate B/S option?

 
Post new topic   Reply to topic     Anthony's VBA Forum Index -> Option Pricing Models
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tiger



Joined: 05 Oct 2004
Posts: 1
Location: SF, CA

PostPosted: Wed Oct 06, 2004 10:34 am    Post subject: Is there a way to simulate B/S option? Reply with quote

Hi,

Does anyone know if one can simulate Black/Scholes Option value?
Any help will be appreciated.

Mike Smile
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Data
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Joined: 06 Oct 2004
Posts: 33
Location: NY

PostPosted: Wed Oct 06, 2004 12:28 pm    Post subject: Reply with quote

Hi Mike,

The option price can be simulated using Monte Carlo Simulation technique. Since one of the major assumptions of the model is that the stock price is log normal distributed, one will need to simulate the stock price movement.

Data
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Billy
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PostPosted: Thu Oct 07, 2004 1:41 pm    Post subject: Thanks Reply with quote

This is very good. Thanks Data.

Billy
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Lim



Joined: 27 Oct 2004
Posts: 7

PostPosted: Tue Nov 02, 2004 9:14 pm    Post subject: Re: Thanks Reply with quote

Any idea how to simulate log-normal stock price
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Data
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Joined: 06 Oct 2004
Posts: 33
Location: NY

PostPosted: Wed Nov 03, 2004 12:09 am    Post subject: Reply with quote

Please stay tune on that. We will soon add that to our site.
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Anthony
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PostPosted: Wed Feb 01, 2006 11:40 am    Post subject: Reply with quote

The stock market, usually follows a log-normal distribution. You can use the log normal distribution random number generator to simulate stock price movement.

http://www.excel-modeling.com/examples/example_018.htm
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