Journal of Financial Economics Vol. 4 No. 3 1977
Options: A Monte Carlo approach
Abstract
This paper develops a Monte Carlo simulation method for solving option valuation problems. The method simulates the process generating the returns on the underlying asset and invokes the risk neutrality assumption to derive the value of the option. Techniques for improving the efficiency of the method are introduced. Some numerical examples are given to illustrate the procedure and additional applications are suggested.
- DOI
- 10.1016/0304-405x(77)90005-8
- Volume
- 4
- Issue
- 3
- Pages
- 323-338
- Language
- en
- Sources
- crossref bibtex:phds-export.bib openalex