摘要：In this paper we consider a Monte Carlo technique for valuation of derivatives securities. Metropolis algorithm is used to sample probability distribution of histories of underlying stocks. We consider options on portfolios consisting of linear combinations of correlated log-normal assets, including basket and spread options. The present purpose is to examine feasibility and accuracy of the method, so we start with the simplest valuation problem of a European call on a stock with constant volatility and no dividends, where we can easily compare Monte Carlo results with the analytic Black- Scholes solution. In this relation a practical example is discussed in part three.
关键词：Monte Carlo simulation; Metropilis algorithm; assets.
