FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1777308909> ?p ?o ?g. }

• W1777308909 endingPage "154" @default.
• W1777308909 startingPage "109" @default.
• W1777308909 abstract "AbstractThis chapter presents methods for pricing options using the Monte Carlo approach. To provide tools for simulation, the chapter starts with methods for integrating stochastic differential equations. Illustrated with European-type options, a basic Monte Carlo approach is explained, together with methods of variance reduction (antithetic and control variates). Monte Carlo is applied to a two-asset binary put. Then the chapter describes two Monte Carlo approaches for American-style options, namely, parametric methods and regression methods. The chapter ends with the calculation of sensitivities such as Greeks. Pathwise sensitivities and the adjoint method are introduced.KeywordsMonte Carlo SimulationMonte CarloWiener ProcessAmerican OptionMonte Carlo ApproachThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves." @default.
• W1777308909 created "2016-06-24" @default.
• W1777308909 creator A5051001171 @default.
• W1777308909 date "2012-01-01" @default.
• W1777308909 modified "2023-09-24" @default.
• W1777308909 title "Monte Carlo Simulation with Stochastic Differential Equations" @default.
• W1777308909 cites W121488158 @default.
• W1777308909 cites W130211666 @default.
• W1777308909 cites W133352794 @default.
• W1777308909 cites W137028538 @default.
• W1777308909 cites W137264070 @default.
• W1777308909 cites W1480459000 @default.
• W1777308909 cites W1488112376 @default.
• W1777308909 cites W1488963463 @default.
• W1777308909 cites W1489605740 @default.
• W1777308909 cites W1491502200 @default.
• W1777308909 cites W1492326914 @default.
• W1777308909 cites W1492913691 @default.
• W1777308909 cites W1494436834 @default.
• W1777308909 cites W1498143389 @default.
• W1777308909 cites W1499969990 @default.
• W1777308909 cites W1500065549 @default.
• W1777308909 cites W1503295912 @default.
• W1777308909 cites W150531289 @default.
• W1777308909 cites W1513091520 @default.
• W1777308909 cites W1516590979 @default.
• W1777308909 cites W1519979883 @default.
• W1777308909 cites W1521946947 @default.
• W1777308909 cites W1521986514 @default.
• W1777308909 cites W1522240375 @default.
• W1777308909 cites W1523637143 @default.
• W1777308909 cites W1524518994 @default.
• W1777308909 cites W1525526370 @default.
• W1777308909 cites W1528063838 @default.
• W1777308909 cites W1532045838 @default.
• W1777308909 cites W1538210250 @default.
• W1777308909 cites W1539851785 @default.
• W1777308909 cites W1542744440 @default.
• W1777308909 cites W1545370368 @default.
• W1777308909 cites W1547111832 @default.
• W1777308909 cites W1554321485 @default.
• W1777308909 cites W1555023353 @default.
• W1777308909 cites W1557238565 @default.
• W1777308909 cites W1574389975 @default.
• W1777308909 cites W1575104486 @default.
• W1777308909 cites W1576165626 @default.
• W1777308909 cites W1583880678 @default.
• W1777308909 cites W158727854 @default.
• W1777308909 cites W1589640982 @default.
• W1777308909 cites W1590241584 @default.
• W1777308909 cites W1590646785 @default.
• W1777308909 cites W1593130155 @default.
• W1777308909 cites W1595244856 @default.
• W1777308909 cites W1595775464 @default.
• W1777308909 cites W1600624394 @default.
• W1777308909 cites W1602773783 @default.
• W1777308909 cites W1602985046 @default.
• W1777308909 cites W1603098022 @default.
• W1777308909 cites W160319165 @default.
• W1777308909 cites W1646309082 @default.
• W1777308909 cites W170127646 @default.
• W1777308909 cites W1774238695 @default.
• W1777308909 cites W1815191557 @default.
• W1777308909 cites W1839187988 @default.
• W1777308909 cites W1839273132 @default.
• W1777308909 cites W1858235333 @default.
• W1777308909 cites W1920888878 @default.
• W1777308909 cites W1963748947 @default.
• W1777308909 cites W1964104034 @default.
• W1777308909 cites W1964221133 @default.
• W1777308909 cites W1964703286 @default.
• W1777308909 cites W1964916079 @default.
• W1777308909 cites W1965135515 @default.
• W1777308909 cites W1965612527 @default.
• W1777308909 cites W1967579607 @default.
• W1777308909 cites W1969082924 @default.
• W1777308909 cites W1970476229 @default.
• W1777308909 cites W1971828511 @default.
• W1777308909 cites W1971947347 @default.
• W1777308909 cites W1972375231 @default.
• W1777308909 cites W1973335321 @default.
• W1777308909 cites W1974418079 @default.
• W1777308909 cites W1975527087 @default.
• W1777308909 cites W1975706278 @default.
• W1777308909 cites W1977396001 @default.
• W1777308909 cites W1978044135 @default.
• W1777308909 cites W1979661100 @default.
• W1777308909 cites W1980519218 @default.
• W1777308909 cites W1980864082 @default.
• W1777308909 cites W1980900546 @default.
• W1777308909 cites W1981745143 @default.
• W1777308909 cites W1982039177 @default.
• W1777308909 cites W1982181315 @default.
• W1777308909 cites W1983135873 @default.
• W1777308909 cites W1984953002 @default.
• W1777308909 cites W1985796570 @default.
• W1777308909 cites W1986766099 @default.
• W1777308909 cites W1986883353 @default.

• next