Case Study: Benemérita Universidad Autónoma De Puebla achieves more accurate derivatives and options pricing with Palisade's @RISK

Benemérita Universidad Autónoma De Puebla - Customer Case Study

Benemérita Universidad Autónoma De Puebla faced inaccuracies in traditional derivatives pricing methods — like the binomial tree and Black‑Scholes approaches — when valuing options and accounting for real market randomness. Dr. José Raúl Castro Esparza needed a way to model the “white noise” and non‑normal behavior of asset prices to produce fairer, more reliable option prices, so he turned to Palisade’s @RISK for a more robust solution.

Using Palisade’s @RISK, Dr. Castro built an Excel‑VBA Monte Carlo pricing tool that runs thousands of iterations with appropriate statistical distributions to simulate price outcomes, producing expected premiums (e.g., a call’s expected value of $17.41 and a 90th percentile of $68.32) and full probability graphs. Palisade’s customizability and ease of use enabled a simpler, more accurate pricing method that has been adopted as a teaching example in three university courses (about 20 undergraduates and 15 graduates each), demonstrating measurable improvement in derivative valuation and instructional impact.

Benemérita Universidad Autónoma De Puebla

José Raúl Castro Esparza

Professor