Monte Carlo Methods For Option Pricing
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 term 'Monte Carlo method' was coined by Stanislaw Ulam in the 1940s. The first application to option pricing was by Phelim Boyle in 1977 (for European options). In 1996, M. Broadie and P. Glasserman showed how to price Asian options by Monte Carlo. In 2001 F. A. Longstaff and E. S. Schwartz developed a practical Monte Carlo method for pricing American-style options.
Read more about Monte Carlo Methods For Option Pricing: Methodology, Application
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