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Options & Simulation Pricing.
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Options & Simulation Pricing.

Options.

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OPT-0 Options Basis
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OPT-1/2 Black Scholes & Greeks
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OPT-3/4 Implied Volatility & Alternative Models
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OPT-5 Binomial Trees
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OPT-6 Exotics
 

Simulation Methods for Option Pricing.

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OSP-0 Motivation, GBM, Black-Scholes
Basics of Simulation
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OSP-1 Continuous Random Variables
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OSP-2 Discrete Random Variables
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OSP-3 Multivariate Distributions and Copulas
Variance Reduction Methods
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OSP-4 Antithetic Variables
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OSP-5 Control Variables
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OSP-6 Importance Sampling
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OSP-7 Conditional Monte Carlo
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OSP-8 Stratified Sampling
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OSP-9 Combination of Estimators
SDE Simulation
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OSP-10 Discretization Techniques
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OSP-11 Simulating the Greeks
Copyright 2025 Richard Song