ПРОВЕРКА ТОЧНОСТИ ОЦЕНКИ СТАНДАРТНЫХ ОПЦИОНОВ НА АКЦИИ, ПОЛУЧЕННОЙ НА ОСНОВЕ МЕТОДА МОНТЕ–КАРЛО

The article is devoted to the algorithm for generating the random price of the option underlying asset by using the Monte Carlo method. The scheme of estimation of option value is presented in the article and is implemented on the example of three Ukrainian enterprises shares. The accuracy of the Monte Carlo method is considered, comparing the obtained results with the evaluation of options for the Black–Scholes method. In this paper, special attention has focused on the use of mathematical methods and models in the evaluation process of options that could be used to manage different types of risks. The economic entities often use options to limit price and currency risk in relation to the present or future position in the spot market. That risk management called hedging of positions. Options can be used by financial institutions and investors, too. Option strategies are especially popular among financial investors, who make up their portfolios of shares of different issuers. In this case, there are used the options in which the stock price or stock index is the underlying asset. Whatever the purpose of the use of options, their prices are the costs of risk management strategies building. Therefore, every participant in the derivatives market is trying to minimize the costs associated with risk management. In this regard, understanding the process of pricing options, ways of its evaluation and choice of its parameters are relevant to the financial managers who take a proactive approach to risk management at the enterprise or institution.

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