Anthony's VBA Forum

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

Hi,

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

Mike Smile

Data · Moderator Joined: 06 Oct 2004 Posts: 33 Location: NY

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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Data
Knowledge is Power

Billy · Guest

This is very good. Thanks Data.

Billy

Lim · Joined: 27 Oct 2004 Posts: 7

Any idea how to simulate log-normal stock price

Data · Moderator Joined: 06 Oct 2004 Posts: 33 Location: NY

Please stay tune on that. We will soon add that to our site.
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Data
Knowledge is Power

Anthony · Guest

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