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1. Simulations de Monte Carlo en finance : Pricer d

Emma Alfonsi Xavier Milhaud M2R SAF Simulations de Monte Carlo en finance Pricer d option Sous la direction de M Pierre Alain Patard ISFA Mars 2008 Table des matieres 1 Introduction 2 Un pas dans la theorie 2 1 Simulation de la loi normale 2 2 R duction de la variance 4 2 ou a a h 4808 ee 2 2 1 Technique des variables antith tiques 2 2 2 Technique des variables de contr le
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17. Simulations de Monte Carlo en finance : Pricer d

Emma Alfonsi Xavier Milhaud M2R SAF Simulations de Monte Carlo en finance Pricer d option Sous la direction de M Pierre Alain Patard ISFA Mars 2008 Table des matieres 1 Introduction 2 Un pas dans la theorie 2 1 Simulation de la loi normale 2 2 R duction de la variance 4 2 ou a a h 4808 ee 2 2 1 Technique des variables antith tiques 2 2 2 Technique des variables de contr le
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