在EXCEL中运用蒙特卡罗模拟方法例子 (Wilmott Varie)
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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.