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An Excel Application For Valuing European Options With Monte Carlo Analysis, Tom Arnold, Stephen C. Henry
An Excel Application For Valuing European Options With Monte Carlo Analysis, Tom Arnold, Stephen C. Henry
Finance Faculty Publications
By developing the basic intuition of how Monte Carlo simulation works within an Excel spreadsheet framework, this paper allows the undergraduate student to use Monte Carlo simulation techniques to price European style options without additional sophisticated software. Further, the skills and intuition developed provide the basis for much more complex simulation techniques.