When and How to Use Monte Carlo

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How to value a European call option via Monte Carlo with Excel, R, Python, and C++ examples. I also discuss when Monte Carlo is useful, and when it is not.

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Great stuff! At 19:20... sounds like a great idea :) Please make more videos where you use Python.

alexp
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In your example the St formula for geometrical BM generates price samples in Risk Neutral measure. For an arbitrary price process for the underlying stock, don't you have to generate price paths samples that are also risk neutral? If so, how?

daryoushmehrtash