DocumentCode
2834326
Title
Using simulation for option pricing
Author
Charnes, J.M.
Author_Institution
Sch. of Bus., Kansas Univ., Lawrence, KS
Volume
1
fYear
2000
fDate
2000
Firstpage
151
Abstract
Monte Carlo simulation is a popular method for pricing financial options and other derivative securities because of the availability of powerful workstations and recent advances in applying the tool. The existence of easy-to-use software makes simulation accessible to many users who would otherwise avoid programming the algorithms necessary to value derivative securities. This paper presents examples of option pricing and variance reduction, and demonstrates their implementation with Crystal Ball 2000, a spreadsheet simulation add-in program
Keywords
Monte Carlo methods; costing; digital simulation; financial data processing; securities trading; spreadsheet programs; Crystal Ball 2000; Monte Carlo simulation; derivative securities; ease of use; financial option pricing; programming; spreadsheet; variance reduction; workstations; Analytical models; Portfolios; Pricing; Risk analysis; Risk management; Security; Software algorithms; Stress; Testing; Workstations;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference, 2000. Proceedings. Winter
Conference_Location
Orlando, FL
Print_ISBN
0-7803-6579-8
Type
conf
DOI
10.1109/WSC.2000.899710
Filename
899710
Link To Document