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http://ssrn.com/abstract=1121293
 
 

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Valoración de Opciones por Simulación (Simulation for Option Valuation)


Pablo Fernandez


University of Navarra - IESE Business School

March 3, 1996

CIIF Working Paper No. 309

Abstract:     
En este documento se muestra cómo utilizar la simulación para valorar opciones y otros instrumentos financieros. También se muestra cómo se ha de realizar la simulación para, al valorar opciones, obtener el mismo resultado que con la fórmula de Black y Scholes.

MBA Finance students are in possession of mathematical skills that permit to present them the Black Scholes model. I show how Monte Carlo simulation may be employed to value plain options and other financial instruments.

Note: Downloadable document is in Spanish.

Number of Pages in PDF File: 56

Keywords: Simulation, teaching, Black and Scholes

JEL Classification: G10, G12, G13

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Date posted: April 18, 2008 ; Last revised: October 18, 2013

Suggested Citation

Fernandez, Pablo, Valoración de Opciones por Simulación (Simulation for Option Valuation) (March 3, 1996). CIIF Working Paper No. 309. Available at SSRN: http://ssrn.com/abstract=1121293 or http://dx.doi.org/10.2139/ssrn.1121293

Contact Information

Pablo Fernandez (Contact Author)
University of Navarra - IESE Business School ( email )
Camino del Cerro del Aguila 3
28023 Madrid
Spain
+34 91 357 0809 (Phone)
+34 91 357 2913 (Fax)
HOME PAGE: http://web.iese.edu/PabloFernandez/
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