Functions for fast simulation of prices and price paths with the use of Monte Carlo methods are available in the Statistical Tools module. The limits to the absolute number of simulations and the execution speed is limited only by the given hardware.

With this current version of Derivatives Expert the stochastic processes are assumed to be of the log-normal type. Later versions of Derivatives Expert are expected to accomodate other stochastic processes.

Context

 Monte Carlo methods are useful for pricing e.g. exotic options.

Contents

18.1 Introduction

Summary -- Context -- This Opens the Package

+ 18.2 Statistical Functions/Components

+Simulate -- +Price -- +PricePath
+EstimateVolatility -- +Deviation -- +LogDeviation

+ 18.3 Multivariate Statistical Functions/Components

+Price (Multivariate) -- +PricePath (Multivariate)