MONTE CARLO SIMULATION IN FINANCIAL （蒙特卡罗模拟在金融）.pdfVIP

Proceedings of the 2007 Winter Simulation Conference S. G. Henderson, B. Biller, M.-H. Hsieh, J. Shortle, J. D. Tew, and R. R. Barton, eds. MONTE CARLO SIMULATION IN FINANCIAL ENGINEERING Nan Chen L. Jeff Hong Dept. of Systems Engineering Engineering Management Dept. of Industrial Engineering Logistics Management The Chinese University of Hong Kong The Hong Kong University of Science and Technology Shatin, N.T., HONG KONG Clear Water Bay, Kowloon, HONG KONG ABSTRACT on exact simulation, which aims to generate sample paths that have no discretization error. This paper reviews the use of Monte Carlo simulation in The evaluation of payoffs along sample paths for deriva- the field of financial engineering. It focuses on several tives is often straight-forward except for American-style interesting topics and introduces their recent development, derivatives. For the evaluation step for derivatives that are including path generation, pricing American-style deriva- not American style, the research has focused mainly on tives, evaluating Greeks and estimating value-at-risk. The improving the efficiency of simulation. A good review of paper is not intended to be a comprehensive survey of the those methods can be found in Staum (2002), which re- research literature. views the development of Monte Carlo method in financial engineering by 2002. In this pa