Stochastic Modeling and Efficient Simulation of Brent Crude Option Prices

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

Authors

Khulkhachiev Savr

Publication Details

Journal: European Journal of Economics and Management Sciences
Published: 2025-10-27
DOI: https://doi.org/10.29013/ejems-25-3-8-14
Primary Topic: Stochastic processes and financial applications
Type: article
Field-Weighted Citation Impact: 0.00

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article

Stochastic Modeling and Efficient Simulation of Brent Crude Option Prices

Khulkhachiev Savr

Oct 27, 2025

European Journal of Economics and Management Sciences

Stochastic processes and financial applications

article

Stochastic Modeling and Efficient Simulation of Brent Crude Option Prices

Khulkhachiev Savr

October 27, 2025article en

Abstract

European Journal of Economics and Management Sciences

Openalex Percentile: Top 60%

Stochastic processes and financial applications

DOI Open Access PDF OpenAlex

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Stochastic Modeling and Efficient Simulation of Brent Crude Option Prices — Khulkhachiev Savr · European Journal of Economics and Management Sciences (2025) | TGRS Research Map | TGRS