文件名称：Monte Carlo Simulation In Financial Engineering
文件大小：254KB
文件格式：PDF
更新时间：2012-12-16 16:28:36
MonteCarlo, Finance
This paper reviews the use of Monte Carlo simulation in the field of financial engineering. It focuses on several interesting topics and introduces their recent development, including path generation, pricing American-style deriva- tives, evaluating Greeks and estimating value-at-risk. The paper is not intended to be a comprehensive survey of the research literature.