Pricing writer-extendable call options with Monte Carlo simulation

Citation

Wan Omar, Hazimah and Ibrahim, Siti Nur Iqmal (2024) Pricing writer-extendable call options with Monte Carlo simulation. Applied Mathematics and Computational Intelligence (AMCI), 13 (1). pp. 128-135. ISSN 2289-1315; eISSN: 2289-1323

Abstract

Writer-extendable option is an exotic option that can either be exercised at its initial maturity time or be extended to a future maturity time. Within the Black-Scholes environment, this study aims to price writer-extendable call options using the Monte Carlo simulation technique and compare the obtained prices with the closed-form pricing formula. Numerical examples are provided using the closed-form solutions and the Monte Carlo simulation via Euler scheme, which shows that the prices obtained via the latter are accurate.

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Additional Metadata

Item Type:	Article
Divisions:	Faculty of Science Institute for Mathematical Research
DOI Number:	https://doi.org/10.58915/amci.v13ino.1.491
Publisher:	Penerbit Universiti Malaysia Perlis
Keywords:	Black-scholes; Monte Carlo simulation; Writer-extendable.
Depositing User:	Ms. Che Wa Zakaria
Date Deposited:	10 Apr 2025 06:30
Last Modified:	10 Apr 2025 06:30
Altmetrics:	http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.58915/amci.v13ino.1.491
URI:	http://psasir.upm.edu.my/id/eprint/116533
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