# Questions tagged [monte-carlo]

Monte Carlo simulation methods are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results.

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### Monte Carlo Simulation of correlated returns based on different frequencies

I am simulating through Monte Carlo, multivariate correlated returns of different products composing an Oil&Gas portfolio. The historical prices (from which I computed the log-returns) of the ...
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### Monte Carlo Pricer for Express Certificate delivers wrong price [Mathematica]

So I wanted to price the following Express Certificate with this specific payout structure: If S1 > S0 -> 105.25 , else -> If S2 > 0.95*S0 -> 110.5 , else -> If S3 > 0.9*S0 -> 115.75 , else -> If ...
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### Low estimator when valuing american option using Broadie and Glassermann Monte Carlo tree with antithetic branching (R)

I've been looking into Monte Carlo methods for valuing american options. Now, I found an R code by Stefano M. Iacus that values the option using a tree (based on Broadie and Glassermann) without use ...
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### Longstaff Schwartz with future conditional coupons

I've implemented the L-S algorithm for a simple put option. I want to value a more complex derivative which has future conditional coupons which only occur if the option is in the money. How would I ...
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### Using variance reduction on only some models

I am pricing options with some copula based models using Monte Carlo simulation. I was looking up some easily implementable variance reduction methods and decided on antithetic variates. However, ...
If I wish to price an option with Monte Carlo using the standard GBM process, which have payoff $(max(S-K,0))^2$ Why is it not suitable for a non-linear payoff?