nn_option_pricing.monte_carlo

Monte Carlo estimators for European option pricing.

The current estimator prices European calls under Black-Scholes dynamics by sampling the exact terminal distribution of geometric Brownian motion. Since the option is European and path-independent, simulating intermediate time steps is unnecessary.

Functions

call_price_mc(s0, k, t, r, sigma[, n_paths, ...])

Estimate European call prices with Monte Carlo simulation.