The Monte Carlo MethodMonte Carlo method

Geon Ho Choe
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Geon Ho Choe: Korea Advanced Institute of Science and Technology, Department of Mathematical Sciences

Chapter Chapter 13 in Quantitative Methods for Finance with Simulations II, 2026, pp 231-272 from Springer

Abstract: Abstract In this chapter we introduce the Monte Carlo method and its various applications. In option pricing, the option price is expressed as an expectation of a random variable representing a payoff. Thus we generate sufficiently many asset price paths using random number generators, and evaluate the average of the payoff.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-032-12331-2_13

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DOI: 10.1007/978-3-032-12331-2_13

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