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Derivative pricing, simulation from non-uniform distributions - lecture 3

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No logo availableCentre International de Rencontres Mathématiques (CIRM)
 Ökten, Giray

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Derivative pricing, simulation from non-uniform distributions - lecture 3
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15
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CC Attribution - NonCommercial - NoDerivatives 2.0 Generic:
You are free to use, copy, distribute and transmit the work or content in unchanged form for any legal and non-commercial purpose as long as the work is attributed to the author in the manner specified by the author or licensor.
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The models of Bachelier and Samuelson will be introduced. Methods for generating number sequences from non-uniform distributions, such as inverse transformation and acceptance rejection, as well as generation of stochastic processes will be discussed. Applications to pricing options via rendomized quasi-Monte Carlo methods will be presented.