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