Black-Scholes Process and Monte Carlo Simulation-Based Options Pricing

DOI

10.2991/978-94-6463-010-7_75How to use a DOI?

Keywords

Black Scholes Process; Monte Carlo Methods; Options Pricing

Abstract

Monte Carlo simulation is one of the most important algorithms in finance and numerical computational science. It plays an important role in option pricing and risk management. The Monte Carlo method can easily deal with high-dimensional problems. The upper complexity and computational requirements usually increase linearly. This paper mainly introduces a special Monte Carlo method – the application of the quasi-Monte Carlo method in American option pricing problems.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Taoer Guo
PY  - 2022
DA  - 2022/12/02
TI  - Black-Scholes Process and Monte Carlo Simulation-Based Options Pricing
BT  - Proceedings of the 2022 International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID 2022)
PB  - Atlantis Press
SP  - 733
EP  - 741
SN  - 2589-4919
UR  - https://doi.org/10.2991/978-94-6463-010-7_75
DO  - 10.2991/978-94-6463-010-7_75
ID  - Guo2022
ER  -