Title :
Monte Carlo methods in finance: An introductory tutorial
Author_Institution :
Sch. of Technol. & Comput. Sci., Tata Inst. of Fundamental Res., Mumbai, India
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;
Conference_Titel :
Simulation Conference (WSC), Proceedings of the 2010 Winter
Conference_Location :
Baltimore, MD
Print_ISBN :
978-1-4244-9866-6
DOI :
10.1109/WSC.2010.5679169