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Recent advances in simulation for security pricing

Authors:

Paul GlassermanAuthors Info & Claims

WSC '95: Proceedings of the 27th conference on Winter simulation

Pages 212 - 219

https://doi.org/10.1145/224401.224465

Published: 01 December 1995 Publication History

Abstract

Computational methods play an important role in modern finance. Through the theory of arbitrage-free pricing, the price of a derivative security can be expressed as the expected value of its payouts under a particular probability measure. The resulting integral becomes quite complicated if there are several state variables or if payouts are path-dependent. Simulation has proved to be a valuable tool for these calculations. This paper summarizes some of the recent applications and developments of the Monte Carlo method to security pricing problems.

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Cited By

(2015)ReferencesFinancial Modeling with Crystal Ball and Excel10.1002/9781119203216.refs(301-309)Online publication date: 18-Sep-2015
https://doi.org/10.1002/9781119203216.refs
Charnes JFishwick PKang KJoines JBarton R(2000)Options pricingProceedings of the 32nd conference on Winter simulation10.5555/510378.510404(151-157)Online publication date: 10-Dec-2000
https://dl.acm.org/doi/10.5555/510378.510404
Broadie MGlasserman PLilegdon WGoldsman D(1995)A pruned and bootstrapped American option simulatorProceedings of the 27th conference on Winter simulation10.1145/224401.224467(229-235)Online publication date: 1-Dec-1995
https://dl.acm.org/doi/10.1145/224401.224467

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Recent advances in simulation for security pricing

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Information & Contributors

Information

Published In

cover image ACM Conferences

WSC '95: Proceedings of the 27th conference on Winter simulation

December 1995

1493 pages

ISBN:0780330188

Chairmen:
William R. Lilegdon
Pritsker Corp., West Lafayette, IN
,
David Goldsman
Georgia Institute of Technology, Atlanta
,
Editors:
Christos Alexopoulos
Georgia Institute of Technology, Atlanta
,
Keebom Kang
Naval Postgraduate School, Monterey, CA

Sponsors

IIE: Institute of Industrial Engineers
IEEE-SMCS: Systems, Man & Cybernetics Society
INFORMS/CS: Computer Science TC
ASA: American Statistical Association
ACM: Association for Computing Machinery
SCS: Society for Computer Simulation
SIGSIM: ACM Special Interest Group on Simulation and Modeling
IEEE-CS: Computer Society
NIST: National Institute of Standards & Technology

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IEEE Computer Society

United States

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Published: 01 December 1995

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INFORMS/CS
ASA
ACM
SCS
SIGSIM
IEEE-CS
NIST

WSC95: 1995 Winter Simulation Conference

December 3 - 6, 1995

Virginia, Arlington, USA

Acceptance Rates

WSC '95 Paper Acceptance Rate 122 of 183 submissions, 67%;

Overall Acceptance Rate 3,413 of 5,075 submissions, 67%

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Cited By

(2015)ReferencesFinancial Modeling with Crystal Ball and Excel10.1002/9781119203216.refs(301-309)Online publication date: 18-Sep-2015
https://doi.org/10.1002/9781119203216.refs
Charnes JFishwick PKang KJoines JBarton R(2000)Options pricingProceedings of the 32nd conference on Winter simulation10.5555/510378.510404(151-157)Online publication date: 10-Dec-2000
https://dl.acm.org/doi/10.5555/510378.510404
Broadie MGlasserman PLilegdon WGoldsman D(1995)A pruned and bootstrapped American option simulatorProceedings of the 27th conference on Winter simulation10.1145/224401.224467(229-235)Online publication date: 1-Dec-1995
https://dl.acm.org/doi/10.1145/224401.224467

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