Quasi Monte Carlo Evaluation of Sensitivities of Options in Commodity and Energy Markets
نویسندگان
چکیده
منابع مشابه
Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing
The pricing of options is a very important problem encountered in nancial markets today. The famous Black-Scholes model provides explicit closed form solutions for the values of certain (European style) call and put options. But for many other options, either there are no closed form solutions, or if such closed form solutions exist, the formulas exhibiting them are complicated and diicult to e...
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