Monte Carlo simulation in the case of a single risk factor and evaluation of a European option
This article presents the Monte Carlo method
in the context of stochastic simulation models. It
is used to calculate a numerical value using ran-
dom processes. Indeed, it is to isolate a number of
variables and their eect a probability distribution.
Our research aims to make practical use of the main
operative techniques[1] of Monte Carlo simulation
applied to nance. In this article, we describe how
to develop Monte Carlo simulations in the presence
of a single risk factor Y.
Keywords: Monte Carlo, Finance, Risk Factor, Simulation, Stochastic.
Download Full-Text
ABOUT THE AUTHORS
Naima Soukher
Applied Mathematics
Boubker Daafi
Applied Mathematics
Jamal Bouyaghroumn
Applied Mathematics
Abdelwahed Namir
Applied Mathematics
Naima Soukher
Applied Mathematics
Boubker Daafi
Applied Mathematics
Jamal Bouyaghroumn
Applied Mathematics
Abdelwahed Namir
Applied Mathematics