Implementing Numerical Option Pricing Models

Posted: 21 Oct 2000

See all articles by Simon Benninga

Simon Benninga

Tel Aviv University - Faculty of Management

Raz Steinmetz

University of Pennsylvania - The Wharton School

John Stroughair

Oliver, Wyman & Company, LLC.

Abstract

We develop routines in "Mathematica" for pricing various European and American options using the binary option model and Monte Carlo methods. As might be expected, "Mathematica" permits parsimonious programming of the option pricing expressions.

JEL Classification: G13

Suggested Citation

Benninga, Simon and Steinmetz, Raz and Stroughair, John, Implementing Numerical Option Pricing Models. Available at SSRN: https://ssrn.com/abstract=5844

Simon Benninga (Contact Author)

Tel Aviv University - Faculty of Management ( email )

P.O. Box 39010
Ramat Aviv, Tel Aviv, 69978
Israel
+972-3-640-6317 (Phone)
+972-2-673-4675 (Fax)

Raz Steinmetz

University of Pennsylvania - The Wharton School

3641 Locust Walk
Philadelphia, PA 19104-6365
United States

John Stroughair

Oliver, Wyman & Company, LLC.

666 Fifth Ave.
New York, NY 10103
United States

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