Talk:Monte Carlo methods in finance

Against merge

 * While I do think the material in each article should be coordinated better, upon review, I don't think they should just be merged. This article should be about the general use of Monte Carlo methods in finance even though currently most of the material in it covers options. It should be more balanced, not less so. Adding all of the material from Monte Carlo option model would just make too much on options here. Now options are probably one of the most important applications of Monte Carlo methods in finance, but certainly not the only. But the material in Monte Carlo option model is in many cases better and more approachable so much of it could be switched. Probably the best way is to have this article be the summary article and Monte Carlo option model be the more specific article on options following summary style. That way the overview material would be here and the detail would be there. - Taxman Talk 15:20, 23 December 2008 (UTC)


 * I second that. An outright merge would reduce further scope for detail within specific MC articles. Nshuks7 (talk) 08:18, 15 April 2009 (UTC)


 * I agree. Fintor (talk) 11:55, 7 April 2010 (UTC)


 * I think that it is better to maintain two separate articles with concentration on the respective segments. It might be better if portions of the articles are switched.  D ip ta ns hu Talk 12:34, 24 September 2010 (UTC)

In favor of merge

 * Merge it -- they both have very similar substance. — Preceding unsigned comment added by 70.136.103.148 (talk) 02:42, 25 June 2009

Dr. Reed's comment on this article
Dr. Reed has reviewed this Wikipedia page, and provided us with the following comments to improve its quality:

"this information is harder to obtain, but it can be done for example using the least squares algorithm of Carriere (see link to original paper) which was made popular a few years later by Longstaff and Schwartz (see link to original paper)."

We hope Wikipedians on this talk page can take advantage of these comments and improve the quality of the article accordingly.

We believe Dr. Reed has expertise on the topic of this article, since he has published relevant scholarly research:


 * Reference : Jennifer Castle & Xiaochuan Qin & W. Robert Reed, 2011. "Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates," Working Papers in Economics 11/03, University of Canterbury, Department of Economics and Finance.

ExpertIdeasBot (talk) 16:29, 11 July 2016 (UTC)

"link to original paper" both missing -- it's possible the papers are these, from the references in Monte_Carlo_methods_for_option_pricing:


 * Carriere, Jacques (1996). "Valuation of the early-exercise price for options using simulations and nonparametric regression". Insurance: Mathematics and Economics. 19: 19–30. doi:10.1016/S0167-6687(96)00004-2.
 * Longstaff, Francis. "Valuing American Options by Simulation: A Simple Least-Squares Approach" (PDF). Retrieved 18 December 2019.

Stevegt (talk) 03:43, 2 May 2021 (UTC)

"Greeks" issue
The section on Greeks indicates that a shortcoming of the Monte Carlo algorithm is that it requires many runs to generate statistics that are sufficient to approximate numerical derivatives. I believe the stochasticity of MC methods is a reflection of real-life uncertainty, so that the wide variance of outcomes is realistic, and this perceived shortcoming is in fact due to reality and not MC. Perhaps it would be helpful to engage directly with the source material on this subject, but there is no citation in this section.

External links modified (February 2018)
Hello fellow Wikipedians,

I have just modified 4 external links on Monte Carlo methods in finance. Please take a moment to review my edit. If you have any questions, or need the bot to ignore the links, or the page altogether, please visit this simple FaQ for additional information. I made the following changes:
 * Added archive https://web.archive.org/web/20111207025740/http://www.analycorp.com/uncertainty/flawarticle.htm to http://www.analycorp.com/uncertainty/flawarticle.htm
 * Added archive https://web.archive.org/web/20100716195259/http://www.puc-rio.br/marco.ind/faq4.html to http://www.puc-rio.br/marco.ind/faq4.html
 * Added archive https://web.archive.org/web/20120105084424/http://www.columbia.edu/~mh2078/MCS04/MCS_framework_FEegs.pdf to http://www.columbia.edu/~mh2078/MCS04/MCS_framework_FEegs.pdf
 * Added archive https://web.archive.org/web/20120105084424/http://www.columbia.edu/~mh2078/MCS04/MCS_framework_FEegs.pdf to http://www.columbia.edu/~mh2078/MCS04/MCS_framework_FEegs.pdf

When you have finished reviewing my changes, you may follow the instructions on the template below to fix any issues with the URLs.

Cheers.— InternetArchiveBot  (Report bug) 23:43, 4 February 2018 (UTC)