期货期权及其衍生品配套课件全34章Ch19.ppt

* * * * * * * * * * * * * * * * * * * Standard Errors in Monte Carlo Simulation The standard error of the estimate of the option price is the standard deviation of the discounted payoffs given by the simulation trials divided by the square root of the number of observations. Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Application of Monte Carlo Simulation Monte Carlo simulation can deal with path dependent options, options dependent on several underlying state variables, and options with complex payoffs It cannot easily deal with