With the classical Monte-carlo the following exemple: sigma= 0,25; r=0; S0=100; K=150; T=1 we obtain a result of 0,672 wich is the fair price for 100000 simulations_ Using c= 0,5 I find about 0,04 and the variance in the price is very big when I change c.

<t>I try to price a call option very out of money using the importance sampling method in Monte Carlo. My results are not what I was expecting but I can't find out the problem_ Here is the code in VBA:Function MCOptionValue5(S0, K, r, T, sigma, c, nsim) Dim rnmut, sum, sum1, S, F, W, W1, payoff1, pa...

<t>I try to price a call option very out of money using the importance sampling method in Monte Carlo. My results are not what I was expecting but I can't find out the problem_ Here is the code in VBA:Function MCOptionValue5(S0, K, r, T, sigma, c, nsim) Dim rnmut, sum, sum1, S, F, W, W1, payoff1, pa...