Monte Carlo methods for option pricing

In mathematical finance, a Monte Carlo option model uses Monte Carlo methods^{[Notes 1]} to calculate the value of an option with multiple sources of uncertainty or with complicated features.^[1] The first application to option pricing was by Phelim Boyle in 1977 (for European options). In 1996, M. Broadie and P. Glasserman showed how to price Asian options by Monte Carlo. An important development was the introduction in 1996 by Carriere of Monte Carlo methods for options with early exercise features.

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