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
Link To Document :
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