Which of the following cannot be valued by Monte Carlo simulation
A. European options
B. American options
C. Asian options (i.e., options on the average stock price)
D. An option which provides a payoff of $100 if the stock price is greater than the strike price at maturity
B
American options cannot be valued in a simple way using Monte Carlo simulation because Monte Carlo simulation works forward from the beginning of the life of an option and we do not know whether the option should be exercised when a particular time is reached.
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