Derivative security - PowerPoint PPT Presentation

5.3 Martingale Representation Theorem

5.3 Martingale Representation Theorem. 報告者：顏妤芳. 5.3.1 Martingale Representation with One Brownian Motion. Corollary 5.3.2 is not a trivial consequence of the Martingale Representation Theorem , Theorem 5.3.1, with replacing W(t)

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5.3 Martingale Representation Theorem

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Monte Carlo Simulation

Monte Carlo Simulation. We will explore a technique, called Monte Carlo simulation, to numerically derive the price of an option or other derivative security. The motivation for this is two-fold.

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529 views • 10 slides

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