Title :
Using simulation for option pricing
Author_Institution :
Sch. of Bus., Kansas Univ., Lawrence, KS
Abstract :
Monte Carlo simulation is a popular method for pricing financial options and other derivative securities because of the availability of powerful workstations and recent advances in applying the tool. The existence of easy-to-use software makes simulation accessible to many users who would otherwise avoid programming the algorithms necessary to value derivative securities. This paper presents examples of option pricing and variance reduction, and demonstrates their implementation with Crystal Ball 2000, a spreadsheet simulation add-in program
Keywords :
Monte Carlo methods; costing; digital simulation; financial data processing; securities trading; spreadsheet programs; Crystal Ball 2000; Monte Carlo simulation; derivative securities; ease of use; financial option pricing; programming; spreadsheet; variance reduction; workstations; Analytical models; Portfolios; Pricing; Risk analysis; Risk management; Security; Software algorithms; Stress; Testing; Workstations;
Conference_Titel :
Simulation Conference, 2000. Proceedings. Winter
Conference_Location :
Orlando, FL
Print_ISBN :
0-7803-6579-8
DOI :
10.1109/WSC.2000.899710
