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Option valuation for arbitrary distribution using monte carlo simulation

msalese 
Hi guys, I think that you can use what distribution you want.
Stable is one of that better fits the log returns (it's my opinion!)
But you can have more info giving a look at
http://www.mathestate.com/tools/Financial/map/Overview.html).
If you prefer you can price with GARCH to better reproduce the smile effect. 
I'm a buyer side trader (risk taker), I price options only to create future
scenarios and on that scenarios I plan the reaction.


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Thread (15 messages)

Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Nov 22 msalese Option valuation for arbitrary distribution using monte carlo simulation Nov 22 Paul Ringseth Option valuation for arbitrary distribution using monte carlo simulation Nov 22 Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Nov 23 msalese Option valuation for arbitrary distribution using monte carlo simulation Nov 23 Christofer Bogaso Option valuation for arbitrary distribution using monte carlo simulation Nov 24 Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Nov 24 msalese Option valuation for arbitrary distribution using monte carlo simulation Nov 24 Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Nov 24 Matthew Clegg Option valuation for arbitrary distribution using monte carlo simulation Nov 24 Patrick Burns Option valuation for arbitrary distribution using monte carlo simulation Nov 24 Brian G. Peterson Option valuation for arbitrary distribution using monte carlo simulation Nov 24 Charles Ward Option valuation for arbitrary distribution using monte carlo simulation Nov 25 msalese Option valuation for arbitrary distribution using monte carlo simulation Nov 25 Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Nov 28