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- Monte_Carlo_methods_for_option_pricing abstract "In mathematical finance, a Monte Carlo option model uses Monte Carlo methods to calculate the value of an option with multiple sources of uncertainty or with complicated features.Although the term 'Monte Carlo method' was coined by Stanislaw Ulam in the 1940s, some trace such methods to the 18th century French naturalist Buffon, and a question he asked about the results of dropping a needle randomly on a striped floor or table. See Buffon's needle. The first application to option pricing was by Phelim Boyle in 1977 (for European options). In 1996, M. Broadie and P. Glasserman showed how to price Asian options by Monte Carlo. In 2001 F. A. Longstaff and E. S. Schwartz developed a practical Monte Carlo method for pricing American-style options.".
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- Monte_Carlo_methods_for_option_pricing wikiPageExternalLink MonteCarlo_greeks.aspx.
- Monte_Carlo_methods_for_option_pricing wikiPageExternalLink Fink-montecarlo.pdf.
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- Monte_Carlo_methods_for_option_pricing subject Category:Mathematical_finance.
- Monte_Carlo_methods_for_option_pricing subject Category:Monte_Carlo_methods_in_finance.
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- Monte_Carlo_methods_for_option_pricing type Method105660268.
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- Monte_Carlo_methods_for_option_pricing comment "In mathematical finance, a Monte Carlo option model uses Monte Carlo methods to calculate the value of an option with multiple sources of uncertainty or with complicated features.Although the term 'Monte Carlo method' was coined by Stanislaw Ulam in the 1940s, some trace such methods to the 18th century French naturalist Buffon, and a question he asked about the results of dropping a needle randomly on a striped floor or table. See Buffon's needle.".
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