Options pricing: using simulation for option pricing

Authors:
John M. Charnes
Affiliations:
The University of Kansas, Lawrence, KS and INFORMS College
Venue:
Proceedings of the 32nd conference on Winter simulation
Year:
2000

Citing 15
Cited 4

Large sample properties of simulations using latin hypercube sampling

Technometrics
Pricing of financial derivatives via simulation

WSC '95 Proceedings of the 27th conference on Winter simulation
Recent advances in simulation for security pricing

WSC '95 Proceedings of the 27th conference on Winter simulation
Correlation-induction techniques for estimating quantiles in simulation experiments

WSC '95 Proceedings of the 27th conference on Winter simulation
Numerical valuation of high dimensional multivariate European securities

Management Science
Quasi-Monte Carlo methods in numerical finance

Management Science
Estimating security price derivatives using simulation

Management Science
Path-dependent options: extending the Monte Carlo simulation approach

Management Science
Monto Carlo extension of quasi-Monte Carlo

Proceedings of the 30th conference on Winter simulation
Efficiency improvement by lattice rules for pricing Asian options

Proceedings of the 30th conference on Winter simulation
Accelerated simulation for pricing Asian options

Proceedings of the 30th conference on Winter simulation
Generating Quasi-Random Paths for Stochastic Processes

SIAM Review
Variance reduction of Monte Carlo and randomized quasi-Monte Carlo estimators for stochastic volatility models in finance

Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 1
Efficiency improvements for pricing American options with a stochastic mesh

Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 1
Monte Carlo and Quasi-Monte Carlo Methods, 1998: Proceedings of a Conference Held at the Claremont Graduate University, Claremont, California, USA, JU

Monte Carlo and Quasi-Monte Carlo Methods, 1998: Proceedings of a Conference Held at the Claremont Graduate University, Claremont, California, USA, JU

Approximating free exercise boundaries for American-style options using simulation and optimization

WSC '04 Proceedings of the 36th conference on Winter simulation
Out-of-the-money monte carlo simulation option pricing: the joint use of importance sampling and descriptive sampling

WSC '05 Proceedings of the 37th conference on Winter simulation
Real options valuation

Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Naïve learning algorithms utilized for the prediction of stock prices to compare economic models of decision making

Proceedings of the Winter Simulation Conference

Quantified Score

Hi-index	0.00

Visualization

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.