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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…
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Related topics
Related topics
20 relations
Backward induction
Binomial options pricing model
Bruno Dupire
Cholesky decomposition
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Broader (1)
Monte Carlo methods in finance
Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2016
2016
Universal Power Exponent in Network Models of Thin Film Growth
Satish K. Badepalli
,
M. Yuksel
2016
Corpus ID: 42379527
Understanding the growth dynamics of physical processes in thin film growth is of great interest due to many practical…
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2015
2015
Stochastic congestion alleviation with a trade-off between demand response resources and load shedding
Abbas Tabandeh
,
A. Abdollahi
,
M. Rashidinejad
Prague Stringology Conference
2015
Corpus ID: 26684171
Under the smart grid environments, Demand Response Resources (DRR) as a power system resources can effectively participate in and…
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2015
2015
An Algorithm for Reliability Assessment of Distribution Systems in Presence of Distributed Generators
S. Conti
,
S. Rizzo
2015
Corpus ID: 59448724
Techniques able to assess distribution networks reliability have to be adapted to the Smart Grid paradigm that is going to be…
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2013
2013
The use of Monte Carlo methods for option pricing
Rok Povšič
2013
Corpus ID: 152548465
An option is a contract which gives the owner (buyer) of the option the right, but not obligation, to buy or sell the underlying…
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2013
2013
Effectiveness of Propensity Score Methods in a Multilevel Framework: A Monte Carlo Study
Aarti P. Bellara
2013
Corpus ID: 59803632
Review
2012
Review
2012
Monte Carlo Simulation Methods for Studying the Thermodynamics of Ligand Binding & Transfer Processes in Biomolecules
R. Ullmann
2012
Corpus ID: 101906854
The binding and transfer of ligands is of central importance for the function of many biomolecular systems. The main topic of…
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2008
2008
Study on Monte Carlo simulation methods for pricing R&D project of the firms and its application
Lou Meng-dan
2008
Corpus ID: 63897189
In this paper,according to complex and American-Style real option characteristic of RD project for many firms,we will research…
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2008
2008
Variance Reduction Techniques of Monte Carlo Simulation Methods in Options Pricing
Chen Hui
2008
Corpus ID: 123990944
The variance reduction techniques of Monte Carlo Simulation(MCS) methods play an important role in the simulation efficiency…
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2005
2005
Incorporating station related maintenance and aging outages in composite system reliability evaluation
Hua Yang
2005
Corpus ID: 111145849
A power system is normally composed of a large number of generators and transmission lines that are connected through switching…
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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
I. Reid
,
S. Hunter
1979
Corpus ID: 54714426
The transport properties of an electron swarm drifting and diffusing in hydrogen as determined from a numerical solution of…
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