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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.
Highly Cited
2008
Highly Cited
2008
FPGA acceleration of quasi-Monte Carlo in finance
Nathan Woods
,
T. VanCourt
International Conference on Field-Programmable…
2008
Corpus ID: 7623576
Today, quasi-Monte Carlo (QMC) methods are widely used in finance to price derivative securities. The QMC approach is popular…
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Review
2004
Review
2004
Quasi-Monte Carlo methods in finance
P. L'Ecuyer
Proceedings of the Winter Simulation Conference…
2004
Corpus ID: 2244314
We review the basic principles of quasi-Monte Carlo (QMC) methods, the randomizations that turn them into variance-reduction…
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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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Highly Cited
2002
Highly Cited
2002
Monte Carlo Methods in Finance
E. Fournié
,
Jérôme Lebuchoux
2002
Corpus ID: 31638372
Monte Carlo method has received significant consideration from the context of quantitative finance mainly due to its ease of…
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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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Highly Cited
2002
Highly Cited
2002
Monte Carlo valuation of American options
L. Rogers
2002
Corpus ID: 16472706
This paper introduces a dual way to price American options, based on simulating the paths of the option payoff, and of a…
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Highly Cited
2001
Highly Cited
2001
Applications of Malliavin calculus to Monte-Carlo methods in finance. II
E. Fournié
,
J. Lasry
,
Jérôme Lebuchoux
,
P. Lions
Finance and Stochastics
2001
Corpus ID: 27823177
Abstract. This paper is the sequel of Part I [1], where we showed how to use the so-called Malliavin calculus in order to devise…
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Highly Cited
2000
Highly Cited
2000
Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier
F. Zapatero
,
Alfredo Ibez
Journal of Financial and Quantitative Analysis
2000
Corpus ID: 53919612
Abstract This paper introduces a Monte Carlo simulation method for pricing multidimensional American options based on the…
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Highly Cited
1999
Highly Cited
1999
Applications of Malliavin calculus to Monte Carlo methods in finance
E. Fournié
,
J. Lasry
,
Jérôme Lebuchoux
,
P. Lions
,
N. Touzi
Finance and Stochastics
1999
Corpus ID: 6683178
Abstract. This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities…
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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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