Option Pricing

Monte-Carlo simulation is a statistical technique inspired by the casinos of Monaco. Much like gamblers resigning their fates to probability, we hand over the results of statistical analysis to chance. By running enough trials, we can make conclusions with statistical significance.

Consider evaluating a call option with a strike prices of $105 for this stock. What would be the expected value of the option at expiry, given a geometric Brownian model for the stock’s movement?