An Introduction To Monte Carlo-Tree (MC-Tree) Method
Keywords:Binomial Trees, Monte Carlo Method, Credit Valuation Adjustment, European Options, American Options, Counterparty Credit Risk
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.
Dirk Sierag and Bernard Hanzon. Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal’s simplex. Annals of Operations Research, 266(1):101–127, 2018.
Yen Thuan Trinh and Bernard Hanzon. Option Pricing and CVA Calculations using the Monte Carlo-Tree (MC-Tree) Method. arXiv e-prints, pages arXiv–2202, 2022.
Yen Thuan Trinh. Option pricing and CVA calculations using the Monte Carlo- Tree (MC-Tree) method. PhD thesis, University College Cork, 2022.
Copyright (c) 2022 Yen Thuan Trinh
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.