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 |
|---|---|---|
2007 | 10.5555/1351542.1352010 | Winter Simulation Conference |
Keywords | DocType | ISBN |
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 | Conference | 1-4244-1306-0 |
Citations | PageRank | References |
0 | 0.34 | 4 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Phelim Boyle | 1 | 9 | 2.38 |
| Mark Broadie | 2 | 302 | 53.77 |
| Paul Glasserman | 3 | 496 | 95.86 |