Name
Abstract | ||
|---|---|---|
Computational methods play an important role in modern finance. Through the theory of arbitrage-free pricing, the price of a derivative security can be expressed as the expected value of its payouts under a particular probability measure. The resulting integral becomes quite complicated if there are several state variables or if payouts are path-dependent. Simulation has proved to be a valuable tool for these calculations. This paper summarizes some of the recent applications and developments of the Monte Carlo method to security pricing problems. |
Year | DOI | Venue |
|---|---|---|
1995 | 10.1145/224401.224465 | Winter Simulation Conference |
Keywords | Field | DocType |
recent application,recent advance,important role,expected value,derivative security,modern finance,computational method,particular probability measure,arbitrage-free pricing,monte carlo method,security pricing problem,pricing,security,probability measure,stochastic processes,monte carlo methods,state variables,testing,cost accounting,finance,stress,simulation,computational modeling | Econometrics,Monte Carlo method,Actuarial science,Systems engineering,Computer science,Probability measure,Stochastic process,Expected value,State variable,Derivative (finance),Technical report,Cost accounting | Conference |
ISBN | Citations | PageRank |
0-7803-3018-8 | 2 | 0.68 |
References | Authors | |
4 | 3 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Phelim Boyle | 1 | 9 | 2.38 |
| Mark Broadie | 2 | 302 | 53.77 |
| Paul Glasserman | 3 | 496 | 95.86 |