Pricing option on Fund

LiborForce · December 5th, 2005, 8:42 pm

Hi,Assume we have to price an option on Fund using Monte Carlo method.My question : is'it right to take the dynamic of the Fund lognormal (under the risk neutral Probability)? if not what is then the market standars to price this option using Monte Carlo simulations? and what volatility one should take for the dynamic?Thanks in advance

DerFund · December 6th, 2005, 9:00 am

which kind of fund?if you are talking about Hf, u should use jumpsbest,DF

LiborForce · December 6th, 2005, 10:03 am

thank u Defund,Basically, the option call is on a Guaranteed dynamic monetary Fund (Not a Hedge Fund)?thank you