金融工程簡要的通過(英文版)(pdf 11頁)

These notes provide a very brief introduction to pricing European options. This sketch is the latest version of a short introduction written for beginning quants at Commerzbank, written while consulting in Frankfurt. It also served, in modi?ed form, as a brief introduction for students on the MSc in Mathematical Finance, when I was lecturing at Imperial College. The latest incarnation di?ers from these in that it's based on Matlab.
These notes are fairly self-contained: some review of probability theory is
discussed in a separate section, and background information is kept to a min-
imum. Further, there are many important points that are merely sketched here, but will be discussed in detail during the principal courses.
Monte Carlo simulation has the great advantage that it is extremely simple to program. Its disadvantage is that the error is usually a multiple of 1=pN, so that very large N is needed for high accuracy (each decimal place of accuracy requires about a hundred times more work). We note that (1.7) will compute the value of any European option that is completely de?ned by a known ?nal value f(S(T); T).
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