Monte Carlo methods for option pricing
id:
monte-carlo-methods-for-option-pricing-284-13638526
title:
Monte Carlo methods for option pricing
text:
In mathematical finance, a Monte Carlo option model uses Monte Carlo methods to calculate the value of an option with multiple sources of uncertainty or with complicated features. The first application to option pricing was by Phelim Boyle in 1977. In 1996, M. Broadie and P. Glasserman showed how to price Asian options by Monte Carlo. An important development was the introduction in 1996 by Carriere of Monte Carlo methods for options with early exercise features.
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wiki
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encyclopedia
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original url:
https://en.wikipedia.org/wiki/Monte_Carlo_methods_for_option_pricing
date created:
date modified:
2023-04-03T00:05:21Z
main entity:
{"identifier":"Q6904701","url":"https://www.wikidata.org/entity/Q6904701"}
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13
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