Black Scholes Approach Risk Free Rate (r) Standard Deviation () Time Interval (t) Strike Price (K)

Spot Price (S) d1 d2 N(d1) N(d2) Call Option Value (C)

1.25% 20.00% 1 1,550 1,544

0.143108 -0.056892 0.556897 0.477315 129.20

The result of the Black Scholes approach is almost the same with that of the Monte Carlo Simulation. Both methods are only applicable to European options that have a certain maturity. For American options that could be exercised before maturity, they are priced by other approaches, such as binomial tree and replication that do not require a specific maturity date. I would introduce more details about these two methods in the Binomial Tree/Replication section.