Options: A Monte Carlo approach

1977/05/01 by Phelim P. Boyle · 6 citations
Business, Management and Accounting · Economics, Econometrics and Finance · Mathematics · #Accounting #Asset (computer security) #Capital Investment and Risk Analysis #Computer science #Econometrics #Economics #Financial Reporting and Valuation Research #Hybrid Monte Carlo #Markov chain Monte Carlo #Mathematical optimization #Mathematics #Monte Carlo method #Monte Carlo methods for option pricing #Monte Carlo molecular modeling #Process (computing) #Statistics #Stochastic processes and financial applications #Valuation (finance) #Valuation of options

paper · doi:10.1016/0304-405x(77)90005-8

crossref issued 1977/05/01 · crossref published 1977/05/01 · crossref published-print 1977/05/01 · openalex publication_date 1977/05/01 · crossref created 2002/07/26 · crossref deposited 2019/04/12 · openalex created_date 2025/10/10 · crossref indexed 2026/07/24 · openalex updated_date 2026/07/25

Citations

• Monte Carlo Methods
• The Pricing of Options and Corporate Liabilities

Cited by

• A master equation approach to option pricing
• Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks
• Forward-Time Black-Scholes Reconstruction via Regularized Legendre Reduction
• Beyond Black-Scholes: A Computational Framework for Option Pricing Using Heston, GARCH, and Jump Diffusion Models
• EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING
• Financial economics [wikipedia]