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在EXCEL中运用蒙特卡罗模拟方法例子 (Wilmott Varie)

在EXCEL中运用蒙特卡罗模拟方法例子 (Wilmott Varie)
在EXCEL中运用蒙特卡罗模拟方法例子 (Wilmott Varie)

26. Monte Carlo Simulation.xls

This spreadsheet is for demonstration purposes

only, and comes with no warranty, guarantee or technical support.

FURTHER INFORMATION?

1Pricing vanillas by simulation:

Simulation of risk-neutral paths

2Pricing exotics by simulation:

Simulation of risk-neutral paths

3Box-Muller:

Demonstration of Box-Muller algorithm for converting uniformly-distributed

random variables into Normally-distributed variables.4

5

6

7

Pricing interest rate products by simulation: Simulation of risk-neutral paths

Cholesky factorization:

Demonstration of Cholesky factorization for converting uncorrelated random variables into correlated random variables. Numerical integration:

Basic Monte Carlo integration

Halton sequence:

Generation of the Halton low-discrepancy sequences.

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