Abstract:
In this talk we look at some basic methods for generating pseudorandom numbers from the uniform distribution and then extend it to generate univariate and multivariate normal variates. We then dwell on (and simulate) a classical model for evolution of stock prices and derive the Black-Scholes equation. Finally we discuss the pricing of some European type options using Monte Carlo simulation.
Speaker
Siddhartha P. Chakrabarty
Research Area
Applied Seminar
Affiliation
Indian Institute of Technology Guwahati, India
Date
Thu, 27/05/2010 - 2:00pm
Venue
RC-3084