Monte Carlo Options Pricing Simulator

Price European Call and Put options by simulating 1000+ stock price paths using Geometric Brownian Motion.

What it does

• Simulates stock price paths using GBM
• Prices Call and Put options using Monte Carlo simulation
• Verifies prices against Black-Scholes analytical formula
• Calculates probability of option expiring profitable (P(ITM))

Stack

Python · NumPy · SciPy · Matplotlib

Files

• gbm.py — GBM path simulation
• pricer.py — Monte Carlo + Black-Scholes pricing
• visualizer.py — Price paths + terminal distribution plots
• main.py — Entry point