Numerical Method (1): Monte Carlo Simulation

Raymond H. Chan, Yves ZY. Guo, Spike T. Lee and Xun Li
Additional contact information
Raymond H. Chan: City University of Hong Kong
Yves ZY. Guo: BNP Paribas CIB
Spike T. Lee: The Chinese University of Hong Kong
Xun Li: The Hong Kong Polytechnic University

Chapter Chapter 21 in Financial Mathematics, Derivatives and Structured Products, 2024, pp 255-275 from Springer

Abstract: Abstract Risk-neutral pricing analysis suggests that the European option price is the expectation of discounted payoff under ℙ ˜ $${\widetilde {\mathbb {P}}}$$ , V 0 = 𝔼 ˜ [ e − r T V T ] . $$ V_0={\widetilde {\mathbb {E}}}[e^{-rT} V_T]. $$

Date: 2024
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DOI: 10.1007/978-981-99-9534-9_21

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