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Monte Carlo methods in finance
Known as:
Monte Carlo in finance
, Monte Carlo valuation
Monte Carlo methods are used in finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating…
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Related topics
Related topics
30 relations
Antithetic variates
Binomial options pricing model
Black–Scholes model
Brownian motion
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Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2016
2016
Evaluating the Informal Sector Micro, Small and Medium Enterprises Sources of Finance for Entrepreneurship Development in Ondo State
Adebayo Adebayo
,
Oluwafemi Ojo
2016
Corpus ID: 182741927
This study is charting a different approach to assessing sources of finance of micro, small, andmedium enterprises (MSMEs…
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Highly Cited
2015
Highly Cited
2015
Technology investment decision-making under uncertainty
R. Kauffman
,
Jun Liu
,
Dan Ma
Journal of Special Topics in Information…
2015
Corpus ID: 10608805
Innovations involving information technology (IT) provide potentially valuable investment opportunities for industry and…
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Review
2010
Review
2010
Monte Carlo methods in finance: An introductory tutorial
S. Juneja
Proceedings of the Winter Simulation Conference
2010
Corpus ID: 15964208
In this introductory tutorial we discuss the problem of pricing financial derivatives, the key application of Monte Carlo in…
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Highly Cited
2008
Highly Cited
2008
A Front-Fixing Finite Element Method for the Valuation of American Options
A. Holmes
,
Hongtao Yang
SIAM Journal on Scientific Computing
2008
Corpus ID: 13355733
A front-fixing finite element method is developed for the valuation of American options on stocks. Stability and solution…
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Review
2006
Review
2006
The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo methods in finance
T. Cass
,
P. Friz
2006
Corpus ID: 12655160
We extend the Bismut-Elworthy-Li formula to non-degenerate jump diffusions and ”payoff” functions depending on the process at…
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2003
2003
Computing Deltas of Callable Libor Exotics in Forward Libor Models
Vladimir V. Piterbarg
2003
Corpus ID: 153523762
Callable Libor exotics is a class of single-currency interest-rate contracts that are Bermuda-style exercisable into underlying…
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2003
2003
Fast Monte Carlo valuation of barrier options for jump diffusion processes
S. Metwally
,
A. Atiya
IEEE International Conference on Computational…
2003
Corpus ID: 29273275
We present a fast and unbiased Monte Carlo approach to pricing barrier options when the underlying security follows a simple jump…
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Highly Cited
2002
Highly Cited
2002
Monte Carlo methods in finance
P. Jaeckel
2002
Corpus ID: 203666214
An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This…
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2000
2000
Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing
Yongzeng Lai
,
J. Spanier
2000
Corpus ID: 125234196
The pricing of options is a very important problem encountered in financial markets today. The famous Black-Scholes model…
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1998
1998
Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing
Puxiang Lai
1998
Corpus ID: 15878734
The pricing of options is a very important problem encountered in nancial markets today. The famous Black-Scholes model provides…
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