摘要：Monte Carlo simulation is a mathematical technique involving repeated simulation of a system with random sampling from probability distributions of real life processes. The Monte Carlo method is widely applied to large and complex problems to obtain approximate solutions. This method has been successfully applied to problems in physical sciences and, more recently, in economy and finance. Sufficient number of repetitions, called iterations, is required to arrive at a statistically viable result - usually an average value of a parameter. In today's competitive market environment, especially in the financial market, Monte Carlo is applied generally for risk management, in the calculation of Value at Risk (VaR) and Profit at Risk (PaR). However, the method of applying the Monte Carlo technique differs between the financial market and other markets, as for example the electricity market.
