scholarly journals Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity

2012 ◽  
pp. 115-143 ◽  
Author(s):  
Pierre Del Moral ◽  
Bruno Rémillard ◽  
Sylvain Rubenthaler
Keyword(s):  
Monte Carlo ◽  
American Options

A Forward Monte Carlo Method for American Options Pricing

2012 ◽  
Vol 33 (4) ◽  
pp. 369-395 ◽  
Author(s):  
Daniel Wei-Chung Miao ◽  
Yung-Hsin Lee
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
American Options ◽  
Options Pricing

scholarly journals A Comparative Analysis of Monte Carlo and Quasi-Monte Carlo Methods in Financial Derivative Pricing

2021 ◽  
Vol 69 (1) ◽  
pp. 1-6
Author(s):  
SM Arif Hossen ◽  
ABM Shahadat Hossain
Keyword(s):  
Monte Carlo ◽  
Comparative Analysis ◽  
Monte Carlo Methods ◽  
American Options ◽  
Financial Derivatives ◽  
Numerical Results ◽  
Derivative Pricing ◽  
Quasi Monte Carlo ◽  
Financial Derivative ◽  
Path Dependent

The main purpose of this dissertation is to study Monte Carlo (MC) and Quasi-Monte Carlo (QMC) methods for pricing financial derivatives. We estimate the Price of European as well as various path dependent options like Asian, Barrier and American options by using these methods. We also compute the numerical results by the above mentioned methods and compare them graphically as well with the help of the MATLAB Coding. Dhaka Univ. J. Sci. 69(1): 1-6, 2021 (January)

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