An introduction to Monte Carlo-Tree (MC-Tree) method
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Published Version
Date
2022
Authors
Trinh, Yen Thuan
Hanzon, Bernard
Journal Title
Journal ISSN
Volume Title
Publisher
The Boolean, University College Cork
Published Version
Abstract
The article aims to introduce concepts in option pricing and risk management. Pricing and risk management is one of the fundamental problems in financial mathematics. Then readers may explore further to understand how to use mathematical models in pricing and risk management. More specifically, our research introduces a new method called Monte Carlo-Tree (MC-Tree), for option pricing and risk management with high accuracy.
Description
Keywords
Binomial trees , Monte Carlo method , Credit valuation adjustment , European options , American options , Counterparty credit risk
Citation
Trinh, Y. T. and Hanzon, B. (2022) 'An introduction to Monte Carlo-Tree (MC-Tree) method', The Boolean: Snapshots of Doctoral Research at University College Cork, 6, pp. 94-96. doi: 10.33178/boolean.2022.1.16