Simulation and Its Application

Cheng-Few Lee, John Lee, Jow-Ran Chang and Tzu Tai
Additional contact information
Cheng-Few Lee: Rutgers University, Department of Finance
John Lee: Center for PBBEF Research
Jow-Ran Chang: National Tsing Hua University, Department of Quantitative Finance
Tzu Tai: Mezocliq, LLC

Chapter Chapter 30 in Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses, 2016, pp 947-966 from Springer

Abstract: Abstract In this chapter, we will introduce Monte Carlo simulation which is a problem-solving technique. This technique can approximate the probability of certain outcomes by using random variables, called simulations. Monte Carlo simulation is named after the city in Monaco. The primary attractions in this place are casinos having gambling games, like dice, roulette, and slot machines. In these games of chance, there exist random behavior.

Keywords: Monte Carlo simulation; Browcan motion; Discounted pay off; Option maturity date; Antithetic variable; Anti-Monte Carlo simulation; Share price paths (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-38867-0_30

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DOI: 10.1007/978-3-319-38867-0_30

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