Monte Carlo methods in option pricing

by Nikolai V. Shokhirev

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(In progress . . . So far I collected references.)

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• Monte Carlo Methods for American Options http://www.informs-cs.org/wsc04papers/219.pdf
• N. Meinshausen and B.M. Hambly, Monte Carlo methods for the valuation of multiple exercise options, Math. Finance, 14, 557-583, 2004
• Financial Modeling - Monte Carlo Analysis http://www.interactivesupercomputing.com/success/pdf/caseStudy_financialmodeling.pdf
• Monte Carlo Simulation With GBM by David Harper, CFA, FRM http://www.investopedia.com/articles/07/montecarlo.asp
• A Probability Conundrum: First Passage time of a Brownian Motion http://www.risklatte.com/brownianMotion/brownian003.php
• Monte Carlo Simulation for Advanced Option Pricing: A Simplifying Tool
• Financial Risk Management http://pluto.mscc.huji.ac.il/~mswiener/teaching/FRM02S/FRMJorion4QA4MonteCarlo.ppt
• Monte Carlo Simulation of Stochastic Processes http://www.puc-rio.br/marco.ind/sim_stoc_proc.html#mc-gbm
• Random numbers in Financial Mathematics: Valuing Financial Options,Peter Duck
• A Monte Carlo Solver for Financial Problems, STEFAN THORÉN
• Algorithmica Research AB http://www.algorithmica.se/default.asp#
• Simple approximations for option pricing under mean reversion and stochastic volatility by Christian M. Hafner
• An Empirical Estimation and Model Selection of Short-Term Interest Rates By Pouyan Mashayekh Ahangarani
• Computer Exercise 2 Simulation http://www.maths.lu.se/matstat/kurser/fms170mas232/lab2/Lab2.pdf
• Monte Carlo European Options Pricing Implementation Using Various Industry Library Solutions By Sergey A. Maidanov
• Monte Carlo Simulations With implementation in Matlab, Cliff Andrus
• Monte Carlo Simulations versus DCF in Real Estate Portfolio Valuation http://www.u-cergy.fr/IMG/2005-15Baroni.pdf
• QUASI-MONTE CARL0 METHODS http://www.actuaries.org/AFIR/colloquia/Cairns/Boyle_Tan.pdf
• Generic Monte Carlo Engine for Numerical Calculations within Front ARENA
• ENHANCED QUASI-MONTE CARLO METHODS WITH DIMENSION REDUCTION
• Monte Carlo Estimation of Project Volatility for Real Options Analysis http://gemf.fe.uc.pt/seminario/2005_12_pedro_godinho.pdf
• Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge
• Generative Code Specialisation for High-Performance Monte-Carlo ... ftp://ftp.cse.unsw.edu.au/pub/doc/papers/UNSW/0710.pdf
• On the Use of Quasi-Monte Carlo Methods in Computational Finance http://www.iro.umontreal.ca/~lecuyer/myftp/papers/iccs01.pdf
• Monte Carlo Simulation http://www.cs.princeton.edu/introcs/98simulation/

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