Quasi-Random and Traditional Monte Carlo Simulation of Black-Scholes (Europ

Do you have comments or suggestions

Set the number of simulations and click the button below to get the results
Number of Simulations = 5,000
RESULTS
Intrisic Value: (V - K) = 0 $
Quasi-Monte Carlo Option Value = 2.379 $
QMC simulation error = #VALUE!

Traditional Monte Carlo with Moro Inversion = 2.419

Monte Carlo + Moro simulation error = #VALUE!

Traditional Monte Carlo with Excel Inversion = 2.357

Monte Carlo Excel error = #VALUE!

Start time = 1/13/2002 20:37

Finish time = 1/13/2002 20:38
Computational Time = 00:02.0 min:sec
ack-Scholes (European Call Option)
ents or suggestions? Email to marcoagd@pobox.com
Input: yellow cells
Simulation Output: blue cells

Exact Value
Analytical Result = #VALUE! (compare this number with the simulated option value: they need be close)

Computational Time: Look the sheet "Performance_table" in order to have an idea on the computational time with the numbe
5,000 simulations take one second or less for one simulation and ~ 2 seconds for the three simulations in parallel
on value: they need be close)

n the computational time with the number of simulations.

mulations in parallel
 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z AA AB AC AD AE AF AG AH AI AJ AK AL AM AN AO AP AQ AR AS AT AU AV AW AX AY AZ BA BB BC BD BE BF BG BH BI BJ BK BL BM BN BO BP BQ BR BS BT BU BV BW BX BY BZ CA CB CC
1 General Parameters:
2 Volatility, Asset Current Price, Exercise Price, Interest Rate, Dividend Yield and Time to Expiration
3 Risk-Free Interest Rate (r) 8.0% per annum Input: yellow cells
4 Volatility (s ) 25.0% p.a. Output: blue cells (see the sheet "results")
5 Divide nd Yie ld (d) 8.0% p.a.
6 Curr ent Pr ic e (V0 ) 20 $
7 Exercise Price 20 $
8 Time to Expiration (T) 2 years
Results for the Default Parameters Correto = 2.39139151501
One simulation (QMC) only
Pentium III, 1 GHz
Num Simul Time (seconds) Simulated Black Scholes Error Sim.
1,000,000 00:28.0 2.3913 -0.005%
400,000 00:10.9 2.3911 -0.012%
100,000 00:01.9 2.3904 -0.040%
50,000 00:00.9 2.3896 -0.074%
20,000 00:00.9 2.3877 -0.154%
10,000 00:00.0 2.3846 -0.283%
5,000 00:00.0 2.3791 -0.513%
1,000 00:00.0 2.3470 -1.855%
500 00:00.0 2.3108 -3.371%