# Option Pricing using Monte Carlo Simulation – Course Outline

- the difference between and the significance of the risk-adjusted probabilities of the Black Scholes option pricing model,
- the intuition behind the Black Scholes European call option formula,
- a preliminary overview of how to create a Monte Carlo simulation model of the Black Scholes solution in Excel,
- Estimating errors of and improving results generated from the Monte Carlo simulation model
- Pricing vanilla and exotic options using the Monte Carlo simulation model

The course splits the time evenly across 135 minutes between building a model step by step in EXCEL and working with the model to price and value derivative products.

# Course Prerequisites

Familiarity with derivative products and comfortable with basic mathematics, numbers and EXCEL.

# Course Audience

The course is targeted at intermediate and advance users and is aimed at professionals who deal with pricing, valuation and risk issues related to structured fixed income and foreign exchange transactions.

# Course Guide

Here is the structure of the course.

Title |
Duration |
||

Session 1 – Black Scholes, N(d1) and N(d2), Monte Carlo Simulator – Theory and Model Review |
37:16 mins | ||

Session 2 – Monte Carlo Simulator – Basic Model Walkthrough |
10:39 mins | ||

Session 3 – Understanding N(d1) and N(d2) and Option Exercise using Monte Carlo |
15:45 mins | ||

Session 4 – Building a Monte Carlo simulator – Foundations |
28:37 mins | ||

Session 5 – Using data tables to store Monte Carlo simulation results |
11:52 mins | ||

Session 6 – Estimating errors and improving results accuracy |
18:46 mins | ||

Session 7 – Pricing Exotic Option using Monte Carlo |
18:43 mins |

## Search the site

## Pages

- Self Study
- Learning Roadmaps
- Asset Liability Management – Learning Roadmap
- Basel II & Basel III Frameworks – Learning Roadmap
- Commodities – Learning Roadmap
- Corporate Finance – Learning Roadmap
- Derivatives Pricing – Learning Roadmap
- ICAAP (Internal Capital Adequacy), Stress Testing and Credit Risk – Learning Roadmap
- Internal Capital Adequacy Assessment Process (ICAAP) – Learning Roadmap
- Monte Carlo Simulation – Learning Roadmap
- Setting Market Risk Limits – Learning Roadmap
- Treasury Products and Operations – Learning Roadmap
- VaR (Value at Risk) – Learning Roadmap

- Topic Guides
- Asset Liability Management (ALM) Crash Course – Topic Guide
- Basel & ICAAP – Topic Guide
- Black Derman Toy (BDT) Interest Rate Model – Topic Guide
- Calculating Value at Risk (VaR) – Topic Guide
- Credit Analysis & Credit Process – Topic Guide
- Derivative Pricing – Topic Guide
- Derivative Products – Topic Guide
- Forward Rates and Forward Prices – Topic Guide
- Heath Jarrow Merton (HJM) Interest Rate Model – Topic Guide
- Interest Rate Simulation Crash Course – Topic Guide
- Monte Carlo Simulation – Topic Guide
- Pricing Interest Rate Swaps & Interest Rate Options – Topic Guide
- Setting Counterparty Limits – Topic Guide
- Treasury Crash Course – Topic Guide

- Video Courses
- ALM and Capital Adequacy – Course Outline
- Calculating VaR ( Value at Risk) – Course Outline
- Cross Selling Treasury Products – Course Outline
- Option Pricing using Binomial Trees – Course Outline
- Option Pricing using Monte Carlo Simulation – Course Outline
- Quant Crash Course – Course Outline
- Selling Derivatives Products – Course Outline
- Setting Value at Risk, Stop Loss, Pre Settlement and Counterparty Limits – Course Outline
- Stress Testing – Course Outline
- Understanding N(d1) and N(d2) – Course Outline
- Pitching for Startups – Course Outline

- Learning Roadmaps

## Random Testimonial

- ~ Student Testimonials
"Concise, to the point. Very informative and very practical.”

“I loved the course!! Very interesting. Good lectures.”

“Excellent, very informative and inspiring.”

“In total awe of the way he taught…”

“Well versed with the subject and able to transmit the subject properly.”

“Excellent. If the time could be extended this would be an even better learning experience.”

Excellent teaching skills. The instructor made every effort to explain most complicated finance concepts in simplest possible ways."

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