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This paper illustrates the manner in which two path dependent exotic options (Asian and Fixed Strike Lookback options) can be valued using Monte Carlo simulations on Excel. Though Excel is not a ...

The Monte Carlo simulation technique, named for the famous Monaco gambling resort, originated during World War II as a way to model potential outcomes from a random chain of events. It is particularly ...

We present a case study on the utility of graphics cards to perform massively parallel simulation of advanced Monte Carlo methods. Graphics cards, containing multiple Graphics Processing Units (GPUs), ...