The application of Monte Carlo simulation in VaR calculation of European option

被引：0
|
作者：
Wang, Beibei [1 ]
Li, Fan
Tian, Rongjie [1 ]
机构：
[1] Beijing Inst Technol, Sch Management & Econ, Beijing 100081, Peoples R China
来源：
PROCEEDINGS OF 2008 INTERNATIONAL CONFERENCE ON RISK AND RELIABILITY MANAGEMENT, VOLS I AND II | 2008年
关键词：
European option; VaR; Monte Carlo simulation;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Based on the assumption that Changes in the price of underlying asset can be described with Geometric Brownian Motion, this paper uses Monte Carlo simulation to calculate the price of European option and the VaR of European option, and result in the fluctuating range of VaR. This method can predict the largest loss on European option in future under a certain probability rate. The result shows that VaR predicted by Monte Carlo simulation can cover the range of European option VaR very well, thus providing advice for investors and institution decision-makers.
引用
收藏
页码：227 / 230
页数：4
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