Add to ORKGEuropean-style options are quite popular nowadays. Calculating their theo- retical price is not an easy task because there are many sources of uncertainty. However, we can model these uncertainties with random numbers. In this pa- per I discuss my implemention of two options-pricing programs using Monte Carlo methods, one for a CPU and the other for a GPU. I also optimize them to reduce their running time. Finally I compare the performance of those two programs
One looks at the pricing of American options using Monte Carlo simulations. The selected theories on...
In recent years, the importance and the interest in financial instrument especially derivatives have...
The Monte Carlo method has proved to be a valuable tool for estimating security prices for which clo...
European-style options are quite popular nowadays. Calculating their theo- retical price is not an e...
This paper attempts to study and explore the most commonly used option pricing models. As we will se...
International audienceThis paper is about using the existing Monte Carlo approach for pricing Europe...
This thesis evaluates different models accuracy of option pricing by MonteCarlo simulations when cha...
Treball de l'assignatura: "Markets and Derivatives", de tercer o quart curs dels estudis de grau en ...
An option is a contract which gives the owner (buyer) of the option the right, but not obligation, t...
Giles has provided in the duration of the dissertation. One looks at the pricing of American options...
Monte Carlo simulation is a valuable tool in computational finance. It is widely used to evaluate po...
A numerical comparison of the Monte Carlo (MC) simulation and the finite-difference method for prici...
A numerical comparison of the Monte Carlo (MC) simulation and the finite-difference method for prici...
As for the Monte Carlo Method, we first introduce a brief history of the method and pricing options ...
The Monte-Carlo method is one of the main method to estimate financial instruments, with this techni...
One looks at the pricing of American options using Monte Carlo simulations. The selected theories on...
In recent years, the importance and the interest in financial instrument especially derivatives have...
The Monte Carlo method has proved to be a valuable tool for estimating security prices for which clo...
European-style options are quite popular nowadays. Calculating their theo- retical price is not an e...
This paper attempts to study and explore the most commonly used option pricing models. As we will se...
International audienceThis paper is about using the existing Monte Carlo approach for pricing Europe...
This thesis evaluates different models accuracy of option pricing by MonteCarlo simulations when cha...
Treball de l'assignatura: "Markets and Derivatives", de tercer o quart curs dels estudis de grau en ...
An option is a contract which gives the owner (buyer) of the option the right, but not obligation, t...
Giles has provided in the duration of the dissertation. One looks at the pricing of American options...
Monte Carlo simulation is a valuable tool in computational finance. It is widely used to evaluate po...
A numerical comparison of the Monte Carlo (MC) simulation and the finite-difference method for prici...
A numerical comparison of the Monte Carlo (MC) simulation and the finite-difference method for prici...
As for the Monte Carlo Method, we first introduce a brief history of the method and pricing options ...
The Monte-Carlo method is one of the main method to estimate financial instruments, with this techni...
One looks at the pricing of American options using Monte Carlo simulations. The selected theories on...
In recent years, the importance and the interest in financial instrument especially derivatives have...
The Monte Carlo method has proved to be a valuable tool for estimating security prices for which clo...