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… (More)
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19 relations
Backward inductionBinomial options pricing modelBruno DupireCholesky decomposition
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Monte Carlo methods in finance

Papers overview

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2018
2018
Reliability Assessment of Redundant Electrical Power Supply Systems using Fault Tree Analysis, Reliability Block Diagram, and Monte Carlo Simulation Methods
This paper deals with the reliability assessment of electrical power supply systems under redundancy. For doing so, three… (More)
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2016
2016
Universal Power Exponent in Network Models of Thin Film Growth
Understanding the growth dynamics of physical processes in thin film growth is of great interest due to many practical… (More)
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2011
2011
Journal of Homeland Security and Emergency Management Manuscript 1837 Cost-Benefit Analysis of Advanced Imaging Technology Full Body Scanners for Airline Passenger Security Screening
The Transportation Security Administration (TSA) has been deploying Advanced Imaging Technologies (AITs) that are full-body… (More)
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2010
2010
Uninterruptible Power Supply (UPS) system configurations: Reliability comparison
The paper presents reliability study of Uninterruptible Power Supply (UPS) system configurations. The five main UPS system design… (More)
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2009
2009
Dimension Reduction Techniques in Quasi-Monte Carlo Methods for Option Pricing
M problems in mathematical finance (e.g., the pricing of financial derivative securities) can be formulated as high-dimensional… (More)
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Review
2008
Review
2008
SEQUENTIAL MONTE CARLO METHODS FOR OPTION PRICING
In the following paper, we provide a review and development of sequential Monte Carlo (SMC) methods ([17, 18, 24]) for option… (More)
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Highly Cited
2008
Highly Cited
2008
Fast Monte Carlo Simulation Methods for Biological Reaction-Diffusion Systems in Solution and on Surfaces
Many important physiological processes operate at time and space scales far beyond those accessible to atom-realistic simulations… (More)
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2004
2004
Simulation methods for nonlinear and non-gaussian models in finance
Financial variables, such as asset returns in international stock and bond markets or interest rates in the liquidity market… (More)
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1994
1994
Monte Carlo simulation methods applied to accident reconstruction and avoidance analysis
 
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Highly Cited
1993
Highly Cited
1993
MARKOV CHAIN MONTE CARLO SIMULATION METHODS IN ECONOMETRICS
We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and… (More)
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