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Erschienen in:
2021 | OriginalPaper | Buchkapitel
11. Simulation
verfasst von : Clifford S. Ang
Erschienen in: Analyzing Financial Data and Implementing Financial Models Using R
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Abstract
Many asset pricing problems cannot be solved using closed-form formulas like the Black–Scholes–Merton model. This chapter discusses the application of simulation techniques in finance. We show different ways to model stock prices using a Geometric Brownian Motion, including simulating two correlated assets. We also show how simulations can be used in the Value-at-Risk calculation. We then show how simulations can be used in options pricing, including how to price several exotic options.