Option pricing

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Option pricing: simulation in financial engineering

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Winter Simulation Conference archive
Proceedings of the 33nd conference on Winter simulation table of contents

Arlington, Virginia

TUTORIAL SESSION: Advanced tutorials table of contents

Pages: 123 - 133

Year of Publication: 2001

ISBN:0-7803-7309-X

Author

Jeremy Staum

Cornell University, Ithaca, NY

Sponsors

INFORMS/CS : Institute for Operations Research and the Management Sciences/College on Simulation
IEEE/SMCS : Institute of Electrical and Electronics Engineers/Systems, Man, and Cybernetics Society
NIST : National Institute of Standards and Technology
ACM: Association for Computing Machinery
SCS : The Society for Computer Simulation International
SIGSIM: ACM Special Interest Group on Simulation and Modeling
IIE : Institute of Industrial Engineers
IEEE/CS : Institute of Electrical and Electronics Engineers/Computer Society
ASA : American Statistical Association

Publisher

IEEE Computer Society Washington, DC, USA

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ABSTRACT

This paper presents an overview of the use of simulation algorithms in the field of financial engineering, assuming on the part of the reader no familiarity with finance and a modest familiarity with simulation methodology, but not its specialist research literature. The focus is on the challenges specific to financial simulations and the approaches that researchers have developed to handle them, although the paper does not constitute a comprehensive survey of the research literature. It offers to simulation researchers, professionals, and students an introduction to an application of increasing significance both within the simulation research community and among financial engineering practitioners.

REFERENCES

Note: OCR errors may be found in this Reference List extracted from the full text article. ACM has opted to expose the complete List rather than only correct and linked references.

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