Stacked Monte Carlo for Option Pricing

May 23, 2019

A new learning-driven version of the Monte Carlo algorithm is now available. Antoine Jacquier, Emma Malone and Mugad Oumgari describe the principles of this so-called stacking version of Monte Carlo and discuss its ability to evaluate European and Asian call options.

We are a not-for-profit organization and the leading globally recognized membership association for risk managers.

weChat QR code.
red QR code.

BylawsCode of ConductPrivacy NoticeTerms of Use © 2024 Global Association of Risk Professionals