DocumentCode
1915312
Title
Monte Carlo methods in finance: An introductory tutorial
Author
Juneja, Sandeep
Author_Institution
Sch. of Technol. & Comput. Sci., Tata Inst. of Fundamental Res., Mumbai, India
fYear
2010
fDate
5-8 Dec. 2010
Firstpage
95
Lastpage
103
Abstract
In this introductory tutorial we discuss the problem of pricing financial derivatives, the key application of Monte Carlo in finance. We review the mathematics that uses no-arbitrage principle to price derivatives and expresses derivatives price as an expectation under the equivalent martingale measure. In the presentation at the conference we will also elaborate on the use of Monte Carlo methods for pricing American options and in portfolio risk measurement.
Keywords
Monte Carlo methods; pricing; Monte Carlo methods; equivalent martingale measurement; introductory tutorial; pricing financial derivatives; Indium tin oxide; Monte Carlo methods; Motion measurement; Portfolios; Pricing; Security; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference (WSC), Proceedings of the 2010 Winter
Conference_Location
Baltimore, MD
ISSN
0891-7736
Print_ISBN
978-1-4244-9866-6
Type
conf
DOI
10.1109/WSC.2010.5679169
Filename
5679169
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