14. Option Pricing with Monte Carlo Methods

  1. Svetlozar T. Rachev,
  2. Young Shin Kim,
  3. Michele Leonardo Bianchi and
  4. Frank J. Fabozzi

Published Online: 6 DEC 2011

DOI: 10.1002/9781118268070.ch14

Financial Models with Lévy Processes and Volatility Clustering

Financial Models with Lévy Processes and Volatility Clustering

How to Cite

Rachev, S. T., Kim, Y. S., Bianchi, M. L. and Fabozzi, F. J. (2011) Option Pricing with Monte Carlo Methods, in Financial Models with Lévy Processes and Volatility Clustering, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118268070.ch14

Publication History

  1. Published Online: 6 DEC 2011
  2. Published Print: 24 JAN 2011

ISBN Information

Print ISBN: 9780470482353

Online ISBN: 9781118268070

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Keywords:

  • option pricing;
  • Monte Carlo methods;
  • maximum likelihood estimation method;
  • S&P 500 index;
  • option valuation

Summary

This chapter contains sections titled:

  • 14.1 Introduction

  • 14.2 Data Set

  • 14.3 Performance of Option Pricing Models

  • 14.4 Summary

  • References