In this thesis, modern theories of option pricing using Black-Scholes formula are reviewed. Then in Ch2, three common option pricing methods are introduced. In Ch3, the study focuses on the Monte Carlo method, mainly because its performance over large quantity of paths and dimensions. In Ch4, the thesis studies new method of variance reduction. These methods are reviewed in the later chapter. Finally a numerical experiment and real market price is presented to test the practical feasi¬bility of this Monte Carlo simulation with variance reduction, and then a comparison between the numerical simulation with real market date is given.