10 فروردین 1403
خداكرم سليمي فرد

خداکرم سلیمی فرد

مرتبه علمی: دانشیار
نشانی: دانشکده کسب و کار و اقتصاد - گروه مدیریت صنعتی
تحصیلات: دکترای تخصصی / تحقیق در عملیات
تلفن: 07731222118
دانشکده: دانشکده کسب و کار و اقتصاد

مشخصات پژوهش

عنوان Application of Monte Carlo simulation in Assessment of European Call Options
نوع پژوهش مقالات در نشریات
کلیدواژه‌ها
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مجله Iranian Journal of Management Studies
شناسه DOI
پژوهشگران حمید شاهبندرزاده (نفر اول) ، خداکرم سلیمی فرد (نفر دوم) ، رضا مغدانی (نفر سوم)

چکیده

In this paper, the pricing of a European call option on the underlying asset is performed by using a Monte Carlo method, one of the powerful simulation methods, where the price development of the asset is simulated and value of the claim is computed in terms of an expected value. The proposed approach, applied in Monte Carlo simulation, is based on the Black-Scholes equation which generally defined the pricing of European call options in a dynamic environment. Therefore, the main goal of this study is how can Monte Carlo be applied to finance? Although it is stated that because of being based on randomness, the Monte Carlo method has its obvious disadvantages and does not yield solutions for all possible stock prices, by applying Black-Scholes formula, it is efficient to use this method for calculating payoff. Hence, in the matter of this paper, we introduce the Black-Scholes model and Monte Carlo simulations as main tools to determine.