Estimaste Sensitivity Of Lookback Option With Simulation Monte Carlo

Abstract

Introducing Lookback option and Greeks value and the impact of Greeks on option. Applying Monte Carlo simulation for pricing Lookback call option with fixed strike price and European call option. Option price can be calculated by formula under Black Scholes model. Finite different approximation also use Monte Carlo for estimating sensitivities of an option. Those sensitivities can be estimated by taking derivative of the formula of an option. In addition, we make a compare of results between simulation and formula.