Figure 3-3. Histogram of all simulated end-of-period index level values
Figure 3-4. Histogram of all simulated end-of-period option inner values
In this case, the majority of the simluated values are zero, indicating that the European call
option expires worthless in a significant amount of cases. The exact number is generated
through the following calculation:
In [ 32 ]: sum(S[- 1 ] < K)
Out[32]: 133533