Journal of Economic Dynamics and Control
Опубликовано на портале: 06-10-2004
Phelim P. Boyle, Mark Broadie, Paul Glasserman
Journal of Economic Dynamics and Control.
1997.
Vol. 21.
No. 8-9.
P. 1267-1321 .
The Monte Carlo approach has proved to be a valuable and flexible computational tool
in modern finance. This paper discusses some of the recent applications of the Monte
Carlo method to security pricing problems, with emphasis on improvements in efficiency.
We first review some variance reduction methods that have proved useful in finance.
Then we describe the use of deterministic low-discrepancy sequences, also known as
quasi-Monte Carlo methods, for the valuation of complex derivative securities. We
summarize some recent applications of the Monte Carlo method to the estimation of
partial derivatives or risk sensitivities and to the valuation of American options.
We conclude by mentioning other applications.


