|OptionMonte (ValuationDate, OptionExpiry, RiskFreeRateAER, CostOfCarryAER, StockPrice, StrikePrice, Volatility, [TimeSteps], [OptionType], [NSim], [DayCount], [Periods])|
|Price an option usingthe Monte Carlo method|
You should choose the value of TimeSteps to as large as performance permits, up to a maximum of 10,000 (although the function may get slow by this time!). TimeSteps is used to discretize (divide up) the time between calculation and expiry. It doesn"t have any real-world significance - to underline this point, note that the most commonly used Black-Scholes method is a special case of the Binomial method with an infinite number of "TimeSteps".
To help obtain a value for volatility, you can use the HistoricVol function.
You need a large number of simulations to get accuracy with Monte-Carlo, this function will accommodate up to 10,000.