Monte Carlo Simulation in Financial Modeling

被引：0
|
作者：
Simsek, Koray D. [1 ]
机构：
[1] Rollins Coll, Crummer Grad Sch Business, Finance, Winter Pk, FL 32789 USA
来源：
JOURNAL OF PORTFOLIO MANAGEMENT | 2023年 / 49卷 / 09期
关键词：
OPTIONS;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Models in asset management require consideration of uncertainty. Monte Carlo simulation is a popular quantitative tool that assigns random values to input variables in order to draw inferences about an uncertain outcome. This article explains and illustrates the main characteristics of Monte Carlo simulation and presents examples for its application in option pricing, portfolio insurance, and portfolio risk management.
引用
收藏
页码：178 / 188
页数：11
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