MarketsDec 2024–Mar 2026Project
Monte Carlo options pricer
Python
- Simulations
- 10k+
- Error vs Black–Scholes
- <2%
Context
I wanted to learn about options and how they're priced, so I built a pricer. I learn by doing.
What I did
- 01Built a Monte Carlo pricer for European options and ran 10,000+ simulations.
- 02Matched the Black–Scholes price to within 2%.
- 03Tested how time and volatility move the price, and how the estimate settles as the number of simulations grows.
Outcome
Under 2% error against the closed-form price.
Tools
- Python
- Monte Carlo
- Black–Scholes