Friday 29th of March 2024
 

Monte Carlo simulation in the case of a single risk factor and evaluation of a European option


Naima Soukher, Boubker Daafi, Jamal Bouyaghroumn and Abdelwahed Namir

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 e ect 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.

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ABOUT THE AUTHORS

Naima Soukher
Applied Mathematics

Boubker Daafi
Applied Mathematics

Jamal Bouyaghroumn
Applied Mathematics

Abdelwahed Namir
Applied Mathematics


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