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F# for Quantitative Finance by Johan Astborg

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Chapter 5. Learning Option Pricing

In this chapter, you will learn how to get started with option pricing using the Black-Scholes formula and the Monte Carlo method. We'll compare the two methods and see where they are most suitable in real-world applications.

In this chapter you will learn:

  • The Black-Scholes option pricing formula
  • How to use the Monte Carlo method to price options
  • European, American, and Exotic options
  • How to use real market data from Yahoo! Finance in option pricing
  • Plotting the greeks in F#
  • The basics of Wiener processes and the Brownian motion
  • The basics of stochastic differential equations

Introduction to options

Options come in two variants, puts and calls. The call option gives the owner of the option the right, but not the obligation, ...

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