Monte Carlo methods for security pricing
Опубликовано на портале: 06-10-2004
Journal of Economic Dynamics and Control.
1997.
Vol. 21.
No. 8-9.
P. 1267-1321 .
Тематические разделы:
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.
Статья рекомендуется в учебной программе Advanced Topics in Finance: Seminar in Financial Derivatives (Chance D.M.)
Ссылки
текст статьи:http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6V85-3SWYBJD-2&_user=10&_handle=W-WA-A-A-AB-MsSAYVA-UUW-AUCUYWBUVZ-CACZUBWVE-AB-U&_fmt=summary&_coverDate=06%2F29%2F1997&_rdoc=2&_orig=browse&_srch=%23toc%235861%231997%23999789991%2312678!&_cdi=5861&view=c&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=ebbe82d2fc846611a2695b254245e982
Ключевые слова
derivative finance monte carlo method security markets курс ценных бумаг метод Монте-Карло экономическая модель
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Экономическая наука современной России.
1998.
№ 2.
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