MontecarloCalls

<p>Montecarlo is a method used to price options. It computes the expected value of the price with respect to an underlying probability distribution which is assumed to be a Gaussian stochastic process described by a geometric Brownian motion.</p>

Compute the price of different types of call using different methods. The types available are Vanilla European Calls, Vanilla American Calls and American Digital Calls. Available methods are Montecarlo Simulation, Montecarlo Simulation with Antithetic Variates, Black-Scholes and the Binary Tree.

Elia Degiorgi

MontecarloCalls: Function that prices a Call via Montecarlo simulation

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