Pricing Options and Monte-Carlo Method a literature Review
DOI:
https://doi.org/10.54691/bcpbm.v44i.4789Keywords:
Monte Carlo Method; Option Pricing; Black-Scholes Model.Abstract
This literature review provides an overview of the past and present of using Monte Carlo methods to price options. From the most B-S model to combining it with a Monte Carlo method, and then from a pricing model to a method for reducing the variance of the Monte Carlo method. Furthermore, building on the solid foundation of the previous research, more recent research has focused on integrating up to several hundred dimensions and even using machine learning methods to price options. This article aims to suggest a traceable path for beginners of Monte Carlo methods, providing them with a direction for learning.
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References
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