Revista Economică 69:4 (2017)

OPTIONS EVALUATION USING MONTE CARLO

SIMULATION

Vasile BRĂTIAN 1

Lucian Blaga University of Sibiu, Romania

Abstract
The present paper evaluates derivative products as options, using Monte Carlo
simulation for the support-asset. The Monte Carlo method is one of the most valuable
and used methods in modern finance and with great applicability in the pricing of
options. The support-asset used in our developments is the shares of Banca
Transilvania SA. The Monte Carlo simulation is used by us to create scenarios on the
random evolution of the support-asset, and the price of the option is determined using
the Feynman-Kac theorem. We also consider that the price of the support-asset
follows a stochastic process with a lognormal distribution.

Keywords: Monte Carlo simulation, Feynman Kac theorem, options price, brownian
motion.

JEL classification: C02, C15, G13

1. Introduction
Monte Carlo Simulation is a tool that is widely used in quantitative
finance for the evaluation of derivative products of the nature of options, being
a highly used method. Using it to create scenarios on the evolution of the
support asset and the Feynman-Kac theorem for determining solutions for
CALL and PUT, they can be a very useful way for practitioners to evaluate
options. What we are proposing in this paper is to describe theoretically and
practically the way in which this goal can be achieved.
Partial differential equation of second order, parabolic, used in the
evaluation of options, linked to the heat equation in mechanics, is proposed for
1
Assoc. Prof. PhD,Faculty of Economics, Department of Finance and Accounting, Lucian Blaga University
Sibiu, Sibiu, Romania, e-mail: [email protected].

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the scientific debate by Fischer Black and Myron Scholes (1973) and later
developed by Robert Merton (1973). This equation is one of the equations that
have changed the world in the view of mathematician Ian Stewart, along with
other 17 equations considered relevant (Einstein equation, Maxwell equations,
Boltzmann equation, Schrӧdinger equation, Navier-Stokes equation, wave
equation, normal distribution, etc.). ”The Black-Scholes equation has changed
the world, creating a million-billion-dollar industry, but its generalizations,
used in an unintelligible way, by a small group of bankers, have changed the
world again by contributing to financial collapse of one million billion.”
(Stewart, 2013, p. 272).
Our paper refers to support assets, shares quoted on the Romanian
capital market (our case study is built on this market and we consider the
option to be of European type). Romania has an option market since 1998, but
is currently in the process of institutional reorganization due to a merger. In
1994, is created in Romania, in Sibiu, the Sibiu Financial and Commodities
Exchange, which later becomes the Sibiu Stock Exchange (SIBEX), where the
first options on futures are launched in 1998, and in 2011 contracts are
launched on options on the euro/dollar exchange rate. The Sibiu Stock
Exchange becomes a member of the Swiss Futures and Options Association
and in 2017 it ceases its activity through the absorption merger by the
Bucharest Stock Exchange.

2. Literature review
The area of quantitative finance in which we find the topic we are
approached is quite wide, and the researchers' concerns on this issue are
numerous. Among the first to explore the choice of options using the Monte
Carlo simulation are: Phelim Boyle, who studied the price of European
options (Boyle, 1977); Mark Broadie and Paul Glasserman, who studied the
price of Asian options (Broadie, Glasserman, 1996); Francis Langstaff and
Eduardo Schwartz, who studied the price of American options (Langstaff,
Schwartz, 2001).
Along with those mentioned above, we have several landmarks,
reminding: John Charnes (2000), Michael Giles (2007), Long Yun (2010),
Russel Caflisch and Suneal Chaudary (2004), Claus Jespersen (2015),
Bingqian Lu (2011), Ajay Jasra and Pierre del Moral (2010), Bolia and Juneja
(2005), Ivan Popchev and Nadya Velinova (2003).

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3. Methodology
An important premise in the evaluation of options is that the price of the
support asset (S) has a random evolution given by the expression:

𝑑𝑆 = 𝜇𝑆𝑑𝑡 + 𝜎𝑆𝑑𝐵 (1)

where: S = the price of the support asset; µ = drift; σ = volatility of the

support asset; B = brownian; t = time.

According to Black-Scholes theory, the value of the option is the present

value of the expected maturity payment for a random neutral risk evolution of
the support asset. The random neutral risk outcome for S can be obtained with
the Girsanov theorem (Bratian (coordinator), Bucur, Opreana, 2016, p. 427):

Theorem: Let the probability field (𝛺, 𝐹, 𝑃), dB - the Brownian motion, Ft - a
filter generated by Bt , and the stochastic process 𝜃t.
We define the following probability measure: 𝑄(𝐹) = ∫𝐹 𝐿 𝑇 𝑑𝑃, where: 𝐿 𝑇 =
𝑡 1
{− ∫0 𝜃𝑡 𝑑𝐵𝑡 − 𝜃𝑡2 𝑑𝑡} , 𝑡 ∈ [0, 𝑇]. Then the process 𝑑𝐵∗ = 𝑑𝐵 + 𝜃𝑑𝑡 is a
2
brownian motion relative to the measure Q.

Note: P is the real probability and Q is the neutral-risk probability.

𝜇−𝑟
Applying Girsanov's theorem to 𝜃 = we have:
𝜎

𝜇−𝑟
𝑑𝐵∗ = 𝑑𝐵 + 𝑑𝑡 (2)
𝜎

where: r = risc-free interest rate.

From (1) and (2) we can write successively the following:

𝜇−𝑟
𝑑𝑆 = 𝜇𝑆𝑑𝑡 + 𝜎𝑆 (𝑑𝐵∗ − 𝑑𝑡)
𝜎
𝜇−𝑟
𝑑𝑆 = 𝜇𝑆𝑑𝑡 + 𝜎𝑆𝑑𝐵 ∗ − 𝜎𝑆 𝑑𝑡
𝜎

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𝑑𝑆 = (𝜇 − 𝜇 + 𝑟)𝑆𝑑𝑡 + 𝜎𝑆𝑑𝐵∗

𝑑𝑆 = 𝑟𝑆𝑑𝑡 + 𝜎𝑆𝑑𝐵 ∗ (3)

Therefore, according to Girsanov's theorem, 𝜎 is independent of 𝜇 and

the volatility of the support asset price is the same in the real and the risk-free
market.
It is very important to remember that the probability change with the
Girsanov theorem allows refocusing brownian motion. The transformation of
Girsanov changes the instantaneous drift of the process, but does not change
the diffusion coefficient (Negrea, 2006, p. 77).
Next, for the lognormal random evolution, the above neutral risk
stochastic differential equation can be written as follows:

1
𝑑(𝑙𝑛𝑆) = (𝑟 − 𝜎 2 ) 𝑑𝑡 + 𝜎𝑍√𝑑𝑡 (4)
2

Expression (4) can be integrated and the following equation of motion is

obtained:
1
𝑙𝑛𝑆(𝑡) − ln(0) = (𝑟 − 𝜎 2 ) 𝑡 + 𝜎(𝐵(𝑡) − 𝐵(0)) (5)
2

As a result, the solution for a time step is:

1
[(𝑟− 𝜎 2 )∆𝑡+𝜎𝑍√∆𝑡]
𝑆(𝑡) + ∆𝑡 = 𝑆(𝑡)𝑒 2 (6)

where: B(t) is a Gaussian process; B(t) – B(0) = Z t ; 𝑍~𝑁(0,1).

That being said, now, if we note with V(S,t) the value of the option, the
Black-Scholes equation tells us:

𝜕𝑉 1 𝜕2 𝑉 𝜕𝑉
+ 𝜎2𝑆2 + 𝑟 (𝑆 − 𝑉) = 0 (7)
𝜕𝑡 2 𝜕𝑆 2 𝜕𝑆

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Referring to physics, the meaning of the terms in the Black-Scholes

equation is the following (Wilmott, 2007, p. 159):
𝜕𝑉 1 𝜕2 𝑉
 expression + 𝜎 2 𝑆 2 2 means that we are dealing with a
𝜕𝑡 2 𝜕𝑆
diffusion in a homogeneous environment;
𝜕𝑉
 expression 𝑟𝑆 is the term of convection (in a physical system,
𝜕𝑆
convective is due to a wind breeze that spreads the smoke in a
certain direction);
 expression −𝑟𝑉 is the term of reaction (by balancing this term and
derivation with time, we will obtain a model for the collapse of a
radioactive body).

The above equation does not specify the option category, CALL or
PUT, which is being evaluated and the exercise price or maturity. What we
know is that the value of the option is a function of the support asset value at
maturity. This means that we have to write a function V(ST, T) representing
profit or loss at maturity. So, if we have a CALL option, then we know that
(Wilmott, 2002, p. 97):

𝑉(𝑆𝑇 , 𝑇) = max(𝑆𝑇 − 𝐸, 0) = 𝑃𝑎𝑦𝑜𝑓𝑓(𝑆), (8)

and for PUT we have:

𝑉(𝑆𝑇 , 𝑇) = max(𝐸 − 𝑆𝑇 , 0) = 𝑃𝑎𝑦𝑜𝑓𝑓(𝑆) (9)

where: E = the exercise price; T = the time of maturity.

Next, the Feynman-Kac theorem tells us that if we have a V=V(S,t)

function differentiable by S and t, given by the following successive phrases
(Bratian (coordinator), Bucur, Opreana):

𝜕𝑉 𝜕𝑉 1 𝜕2𝑉
𝑑𝑉 = + 𝑟(𝑆, 𝑡) + 𝜎(𝑆, 𝑡)2 2 − 𝑟(𝑆, 𝑡)𝑉(𝑆, 𝑡) = 0
𝑑𝑡 𝜕𝑆 2 𝜕𝑆

𝜕𝑉 𝜕𝑉 1 2 2 𝜕 2 𝑉
𝑑𝑉 = + 𝑟𝑆 + 𝜎 𝑆 − 𝑟𝑉 = 0
𝜕𝑡 𝜕𝑆 2 𝜕𝑆 2
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𝜕𝑉 1 𝜕2 𝑉 𝜕𝑉
𝑑𝑉 = + 𝜎2𝑆2 + 𝑟 (𝑆 − 𝑉) = 0,
𝜕𝑡 2 𝜕𝑆 2 𝜕𝑆

and put the condition at the limit V(ST, T), and r(S,t) is constant, the value of a
derivative with payoff has as the only solution:

𝑉(𝑆, 𝑡) = 𝑒 −𝑟(𝑇−𝑡) 𝐸 𝑄 [(𝑉(𝑆𝑇 , 𝑇)|𝐹𝑡 )] (10)

Therefore, on the basis of equations (8), (9) and (10) we can write the
solutions for CALL and PUT as follows:

 for CALL we have:

𝐶 = 𝑉(𝑆, 𝑡) = 𝑒 −𝑟(𝑇−𝑡) 𝐸 𝑄 [max⁡((𝑆𝑇 − 𝐸, 0)|𝐹𝑡 )] (11)

 for PUT we have:

𝑃⁡ = 𝑉(𝑆, 𝑡) = 𝑒 −𝑟(𝑇−𝑡) 𝐸 𝑄 [max⁡((𝐸 − 𝑆𝑇 , 0)|𝐹𝑡 )] (12)

The above Feynman-Kac representation theorem, actually provides the

probabilistic solution of the Black-Scholes partial derivative equation (Negrea,
2006, p. 136).

4. Evaluation of options on suport-asset the shares of Banca

Transilvania SA using the Monte Carlo simulation

In the following, we will empirically address the issue of evaluating the

options on non-dividend sharesm, using the above methodology. In this
respect, we consider that Transilvania Bank's shares as support asset are best
suited to our actions, as this bank has a specific clientele that has proven over
time that it is not directly interested in the dividend.
For the calculation of the volatility of the support asset we use data of
the share price of Banca Transilvania on a year of trading (01 / July / 2016 -
04 / July / 2017), and the risk-free interest rate is 0.94%
(http://www.bnro.ro/Titluri-de-stat---rate-de-referinta-(fixing)-6332.aspx).

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Simulation using the Monte Carlo method of the support asset price is
realized starting with 04 / July / 2017 using the equation (6) of the
methodology and we created 252 daily scenarios.
The payoff and value of CALL and PUT options for a unit of TLV
share support asset are calculated for the following maturities: 3 months, 6
months, 9 months and 12 months.
Following calculations, the results for CALL and PUT for an asset-
backed unit are as follows:

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a) 3-month maturity (see Table 1)

Table 1: CALL/PUT with 3-month maturity

Time S1 S2 ….. S 251 S 252
TLV course - 04.07.2017 2.73 0 2.73 2.73 ….. 2.73 2.73
Drift 0.2658 0.0040 2.7327 2.7759 ….. 2.7263 2.7149
Volatility 0.1669 0.0079 2.7100 2.8135 ….. 2.7647 2.7094
Time step 0.0040 0.0119 2.7397 2.7796 ….. 2.7590 2.7043
Risk-free interest rate 0.0094 0.0159 2.7559 2.7449 ….. 2.7195 2.7134
Exercise price set
at the money 2.73 0.0198 2.7780 2.7382 ….. 2.7288 2.7154

0.0238 2.7584 2.7426 ….. 2.7776 2.7073

0.0278 2.7655 2.7450 ….. 2.7520 2.7119

Value of the option: C 0.0894 0.0317 2.8159 2.7474 ….. 2.7827 2.7053

Value of the option: P 0.0921 0.0357 2.7537 2.7729 ….. 2.7745 2.7192

0.0397 2.7136 2.7949 ….. 2.7609 2.7420

Note: the value of the option is determined

for an unit of support-asset 0.0437 2.7417 2.7792 ….. 2.7733 2.7563

0.0476 2.7231 2.7852 ….. 2.7873 2.7075

….. ….. ….. ….. ….. …..

0.9960 3.1759 2.5499 ….. 2.7434 2.5457

1 3.2071 2.5555 ….. 2.7478 2.5312

3 months 0.25 2.6788 3.0272 ….. 2.8056 2.6791

CALL PAYOFF 0 0.2972 0.0756 0

PUT PAYOFF 0.0512 0 0 0.0509

CALL Average Payoff 0.0896

PUT Average Payoff 0.0923

CALL Value of the option: C 0.0894

PUT Value of the option: P 0.0921

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b) 6-month maturity (see Table 2)

Table 2: CALL/PUT with 6-month maturity

Time S1 S2 ….. S 251 S 252
TLV course - 04.07.2017 2.73 0 2.73 2.73 ….. 2.73 2.73
Drift 0.2658 0.0040 2.7327 2.7759 ….. 2.7263 2.7149
Volatility 0.1669 0.0079 2.7100 2.8135 ….. 2.7647 2.7094
Time step 0.0040 0.0119 2.7397 2.7796 ….. 2.7590 2.7043
Risk-free interest rate 0.0094 0.0159 2.7559 2.7449 ….. 2.7195 2.7134
Exercise price set
at the money 2.73 0.0198 2.7780 2.7382 ….. 2.7288 2.7154

0.0238 2.7584 2.7426 ….. 2.7776 2.7073

0.0278 2.7655 2.7450 ….. 2.7520 2.7119

Value of the option: C 0.1238 0.0317 2.8159 2.7474 ….. 2.7827 2.7053

Value of the option: P 0.1208 0.0357 2.7537 2.7729 ….. 2.7745 2.7192

0.0397 2.7136 2.7949 ….. 2.7609 2.7420

Note: the value of the option is determined

for an unit of support-asset 0.0437 2.7417 2.7792 ….. 2.7733 2.7563

0.0476 2.7231 2.7852 ….. 2.7873 2.7075

….. ….. ….. ….. ….. …..

0.9960 3.1759 2.5499 ….. 2.7434 2.5457

1 3.2071 2.5555 ….. 2.7478 2.5312

6 months 0.5 2.9745 2.6996 ….. 2.9690 2.6843

CALL PAYOFF 0.2445 0.0000 0.2390 0

0.03041
PUT PAYOFF 0.0000 2 0 0.0457

CALL Average Payoff 0.1243

PUT Average Payoff 0.1214

CALL Value of the option: C 0.1238

PUT Value of the option: P 0.1208

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c) 9-month maturity (see Table 3)

Table 3: CALL/PUT with 9-month maturity

Time S1 S2 ….. S 251 S 252
TLV course - 04.07.2017 2.73 0 2.73 2.73 ….. 2.73 2.73
Drift 0.2658 0.0040 2.7327 2.7759 ….. 2.7263 2.7149
Volatility 0.1669 0.0079 2.7100 2.8135 ….. 2.7647 2.7094
Time step 0.0040 0.0119 2.7397 2.7796 ….. 2.7590 2.7043
Risk-free interest rate 0.0094 0.0159 2.7559 2.7449 ….. 2.7195 2.7134
Exercise price set
at the money 2.73 0.0198 2.7780 2.7382 ….. 2.7288 2.7154

0.0238 2.7584 2.7426 ….. 2.7776 2.7073

0.0278 2.7655 2.7450 ….. 2.7520 2.7119

Value of the option: C 0.1692 0.0317 2.8159 2.7474 ….. 2.7827 2.7053

Value of the option: P 0.1357 0.0357 2.7537 2.7729 ….. 2.7745 2.7192

0.0397 2.7136 2.7949 ….. 2.7609 2.7420

Note: the value of the option is determined

for an unit of support-asset 0.0437 2.7417 2.7792 ….. 2.7733 2.7563

0.0476 2.7231 2.7852 ….. 2.7873 2.7075

….. ….. ….. ….. ….. …..

0.9960 3.1759 2.5499 ….. 2.7434 2.5457

1 3.2071 2.5555 ….. 2.7478 2.5312

9 months 0.75 3.2202 2.6659 ….. 3.0059 2.7929

0.4901 0.06290
CALL PAYOFF 6 0.0000 0.2759 6
0.06412
PUT PAYOFF 0.0000 7 0 0.0000

CALL Average Payoff 0.1704

PUT Average Payoff 0.1366

CALL Value of the option: C 0.1692

PUT Value of the option: P 0.1357

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d) 12-month maturity (see Table 4)

Table 4: CALL/PUT with 12-month maturity

Time S1 S2 ….. S 251 S 252
TLV course - 04.07.2017 2.73 0 2.73 2.73 ….. 2.73 2.73
Drift 0.2658 0.0040 2.7327 2.7759 ….. 2.7263 2.7149
Volatility 0.1669 0.0079 2.7100 2.8135 ….. 2.7647 2.7094
Time step 0.0040 0.0119 2.7397 2.7796 ….. 2.7590 2.7043
Risk-free interest rate 0.0094 0.0159 2.7559 2.7449 ….. 2.7195 2.7134
Exercise price set
at the money 2.73 0.0198 2.7780 2.7382 ….. 2.7288 2.7154

0.0238 2.7584 2.7426 ….. 2.7776 2.7073

0.0278 2.7655 2.7450 ….. 2.7520 2.7119

Value of the option: C 0.2182 0.0317 2.8159 2.7474 ….. 2.7827 2.7053

Value of the option: P 0.1556 0.0357 2.7537 2.7729 ….. 2.7745 2.7192

0.0397 2.7136 2.7949 ….. 2.7609 2.7420

Note: the value of the option is determined

for an unit of support-asset 0.0437 2.7417 2.7792 ….. 2.7733 2.7563

0.0476 2.7231 2.7852 ….. 2.7873 2.7075

….. ….. ….. ….. ….. …..

0.9960 3.1759 2.5499 ….. 2.7434 2.5457

1 3.2071 2.5555 ….. 2.7478 2.5312

12 months 1 3.2071 2.5555 ….. 2.7478 2.5312

0.4770
CALL PAYOFF 9 0.0000 0.0178 0
0.17452
PUT PAYOFF 0.0000 4 0 0.1988

CALL Average Payoff 0.2203

PUT Average Payoff 0.1571

CALL Value of the option: C 0.2182

PUT Value of the option: P 0.1556

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Note: The above calculations were done in Excel.

5. Conclusions
Following the calculations, we can say the following:
a) The value of the CALL option for a quantity of a support-asset unit of
the nature of the TLV share is approximately:
- with a maturity of 3 months: 0,0894 monetary units (3,27% of the
value of the support-asset on 04 / July / 2017);
- with a maturity of 6 months: 0,1238 monetary units (4,53% of the
value of the support-asset on 04 / July / 2017);
- with a maturity of 9 months: 0,1692 monetary units (6,19% of the
value of the support-asset on 04 / July / 2017);
- with a maturity of 12 months: 0,2182 monetary units (7,99% of the
value of the support-asset on 04 / July / 2017).

b) The value of the PUT option for a quantity of a support-asset unit of

the nature of the TLV share is approximately:
- with a maturity of 3 months: 0,0921 monetary units (3,37% of the
value of the support-asset on 04 / July / 2017);
- with a maturity of 6 months: 0,1208 monetary units (4,42% of the
value of the support-asset on 04 / July / 2017);
- with a maturity of 9 months: 0,1357 monetary units (4,97% of the
value of the support-asset on 04 / July / 2017);
- with a maturity of 12 months: 0,1556 monetary units (5,69% of the
value of the support-asset on 04 / July / 2017).

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19. Wilmott, P., (2007), Introduces Quantitative Finance, John Wiley & Sons, Chichester, England;
20. www.bnr.ro
21. www.bvb.ro

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