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Stochastic Modeling and Efficient Simulation of Brent Crude Option Prices

Year: 2025

Type: article

Abstract: This study analyzes Brent crude oil call option pricing by integrating the Black–Scholes analytical model with Monte Carlo simulation enhanced by a control variate. Historical daily closing prices of Brent crude from July 2007 to December 2024 (Yahoo! Finance) are used to calibrate asset dynamics. The Black&nd

Source: European Journal of Economics and Management Sciences

DOI: 10.29013/ejems-25-3-8-14

Author: Khulkhachiev Savr

Institution: Peter the Great St. Petersburg Polytechnic University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

OpenAlex ID: W4415595185

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