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Monte Carlo methods for option pricing

Known as: Monte Carlo (disambiguation), Monte Carlo option model 
In mathematical finance, a Monte Carlo option model uses Monte Carlo methods to calculate the value of an option with multiple sources of uncertainty… Expand
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Related topics

Related topics

20 relations
Backward inductionBinomial options pricing modelBruno DupireCholesky decomposition
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Broader (1)

Monte Carlo methods in finance

Papers overview

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2013
2013
Using the Monte Carlo Simulation Methods in Gauge Repeatability and Reproducibility of Measurement System Analysis
Measurements are required to maintain the consistent quality of all finished and semi-finished products in a production line… Expand
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2013
2013
The use of Monte Carlo methods for option pricing
An option is a contract which gives the owner (buyer) of the option the right, but not obligation, to buy or sell the underlying… Expand
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2011
2011
Understanding the Multiple Length Scales Describing the Structure of Bottle‐brush Polymers by Monte Carlo Simulation Methods
Bottle-brush polymers contain a long flexible macromolecule as a backbone to which flexible side chains are grafted. Through the… Expand
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2009
2009
Dimension Reduction Techniques in Quasi-Monte Carlo Methods for Option Pricing
  • X. Wang
  • INFORMS J. Comput.
  • 2009
    • Corpus ID: 34052826
Many problems in mathematical finance (e.g., the pricing of financial derivative securities) can be formulated as high… Expand
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2007
2007
Application of Monte Carlo simulation methods in risk management
The paper deals with Monte Carlo simulation method and its application in Risk Management. The author with the help of MATLAB 7.0… Expand
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Highly Cited
2002
Highly Cited
2002
The stochastic volatility in mean model: empirical evidence from international stock markets
In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model… Expand
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Highly Cited
1995
Highly Cited
1995
Comparison of Assembly Tolerance Analysis by the Direct Linearization and Modified Monte Carlo Simulation Methods
Two methods for performing statistical tolerance analysis of mechanical assemblies are compared: the Direct Linearization Method… Expand
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1994
1994
Monte Carlo Simulation Methods Applied to Accident Reconstruction and Avoidance Analysis
 
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Highly Cited
1982
Highly Cited
1982
Monte Carlo Simulation methods for slope stability
The use of the Monte Carlo Simulation method is discussed, as a sensitivity-testing tool for slope stability and also as a method… Expand
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1979
1979
Comparison between the Boltzmann and Monte Carlo simulation methods for the determination of electron swarm transport coefficients in molecular hydrogen
The transport properties of an electron swarm drifting and diffusing in hydrogen as determined from a numerical solution of… Expand
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