Option pricing can be done by Monte Carlo simulations and this can allow a better understanding of the Black-Scholes equation. It also allows to understand that the geometric Brownian motion is that the core of BSE. Verify that Monte-Carlo and BSE give (approximately) the same solution and do some additional experiments. For example, how many MC samples are needed to have a decent approximation? You can experiment with put calls too. You could also try importance sampling.
See: Geometric Brownian motion v4.pdf
Option pricing can be done by Monte Carlo simulations and this can allow a better understanding of the Black-Scholes equation. It also allows to understand that the geometric Brownian motion is that the core of BSE. Verify that Monte-Carlo and BSE give (approximately) the same solution and do some additional experiments. For example, how many MC samples are needed to have a decent approximation? You can experiment with put calls too. You could also try importance sampling.
See:
Geometric Brownian motion v4.pdf