Monte Carlo simulation in financial engineering

Authors:
Nan Chen;L. Jeff Hong
Affiliations:
The Chinese University of Hong Kong, Shatin, N.T., Hong Kong;The Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong
Venue:
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Year:
2007

Citing 6
Cited 1

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Abstract

This paper reviews the use of Monte Carlo simulation in the field of financial engineering. It focuses on several interesting topics and introduces their recent development, including path generation, pricing American-style derivatives, evaluating Greeks and estimating value-at-risk. The paper is not intended to be a comprehensive survey of the research literature.