Монте-Карло симуляция


[1] Efficient Monte Carlo Pricing of Basket Options, P.Bellizzari, 1998

[2] Path Generation for Quasi-Monte Carlo Simulation of Mortgage Backed Securities, F.Akersson and J.Lehoczky, 2000

[3] Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing, Y.Lai and J.Spanier, 1999

[4] Variance Reduction of Monte Carlo and Randomized Quasi-Monte Carlo Estimators for Stochastic Volatility Models in Finance, H.Ben Ameur et.al., 1999

[5] Markov Chain Monte Carlo Calibration of Stochastic Volatility Models, X.Ge and C.Ji, 2000