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

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.

关键词： European option VaR Monte Carlo simulation

作者: Beibei WANG Fan LI Rongjie TIAN

作者单位: School of Management and Economics,Beijing Institute of Technology,Beijing 100081,China School of Finance,Central University Of Finance and Economics,Beijing 100081,China

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 227-230

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）