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Options: A Monte Carlo approach

Опубликовано на портале: 06-10-2004
Journal of Financial Economics. 1977.  Vol. 4. No. 3. P. 323-338 . 
This paper develops a Monte Carlo simulation method for solving option valuation problems. The method simulates the process generating the returns on the underlying asset and invokes the risk neutrality assumption to derive the value of the option. Techniques for improving the efficiency of the method are introduced. Some numerical examples are given to illustrate the procedure and additional applications are suggested.



Статья рекомендуется в учебной программе Advanced Topics in Finance: Seminar in Financial Derivatives (Chance D.M.)

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http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6VBX-458X2BW-Y&_user=10&_handle=W-WA-A-A-D-MsSAYWA-UUA-AUCUDCDAYB-VAVUZABZD-D-U&_fmt=summary&_coverDate=05%2F31%2F1977&_rdoc=5&_orig=browse&_srch=%23toc%235938%231977%23999959996%23288306!&_cdi=5938&view=c&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=2cd9043ec79aa76a6b16cfb641848f97
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