European options can be priced using the analytical solution of the Black-Scholes-Merton differential equation with the appropriate boundary conditions. A different approach and the one commonly used in situations where no analytical solution is available is the Monte Carlo Simulation. We present the results of Monte Carlo simulations for pricing European options and we compare with the analyti...

Nowadays, options are common financial derivatives. For this reason, by increase of applications for these financial derivatives, the problem of options pricing is one of the most important economic issues. With the development of stochastic models, the need for randomly computational methods caused the generation of a new field called financial engineering. In the financial engineering the pre...

The forecast is very complex in financial markets. The reasons for this are the fluctuation of financial data, Such as Stock index data over time. The determining a model for forecasting fluctuations, can play a significant role in investors deci-sion making in financial markets. In the present paper, the Black Scholes model in the prediction of stock on year later value, on using data from mel...

This paper develops a closed-form option pricing formula for a spot asset whose variance follows a GARCH process. The model allows for correlation between returns of the spot asset and variance and also admits multiple lags in the dynamics of the GARCH process. The single-factor (one-lag) version of this model contains Heston’s (1993) stochastic volatility model as a diffusion limit and therefo...