Basic-Monte-Carlo

Program Description

This program is to stimulate the price of a stock with given market informations (interest rate, volatility rate, ...). It simply sampled a lot of path and then used it to run Monte Carlo. Then the price and standard deviation is calculated. More features will be added in the future.

Basic Information

• Author: Albert Lin
• School: National Taiwna University
• Version: Python3
• Library: Numpy Scipy Decimal

Usage

Input format

• Inputs: Spot price, Simulation time, Interest rate, Dividend rate, Volatility rate, Period to simulate in time, Number of simulations

100 2 0.02 0.01 0.005 300 100000 

Output format

• Output: Estimated Price and the standard deviation of the estimation

-----------------------------
Price: 102.02562559658557
Std: 0.002278041368702311
-----------------------------

Distribution of the Monte Carlo sampled path

Random Seleceted Monte Carlo sampled path

Links to Me!