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What is Monte-Carlo Simulation in Derivative Pricing about?
This document outlines an analysis that uses Monte Carlo simulation to price derivatives. It introduces the topic, provides background concepts, discusses approaches to pricing derivatives, focuses on down-and-out put options, introduces Monte Carlo simulation theory, and uses simulations to solve a motivational question and examine the effects of barrier price and volatility on options. It concludes with a discussion of the findings.
- Author
- MARTYNS NWAOKOCHA
- Language
- EN