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Aug 3

Monte Carlo Chooser Option

Posted by abiao at 08:36 | Code » VBA/Excel | Comments(0) | Reads(9498)
Chooser option gives the holder the right to choose it is a call or put option at a prescriped strike price and date. here is a sample spreedsheet pricing chooser option with Monte Carlo simulation.

http://fisher.utstat.toronto.edu/sjaimung/courses/2008-2009/sta2502/main.htm



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