Chapter 2: FAQs 135
other, non-financial, problems. This pricing methodol-
ogy for derivatives was first proposed by the actuarially
trained Phelim Boyle in 1977.
Whether you use Monte Carlo for probabilistic or deter-
ministic problems the method is usually quite simple to
implement in basic form and so is extremely popular in
practice.
References and Further Reading
Boyle, P 1977 Options: a Monte Carlo approach.Journal of
Financial Economics 4 323–338
Glasserman, P 2003Monte Carlo Methods in Financial Engineer-
ing. Springer Verlag
J ̈ackel, P 2002Monte Carlo Methods in Finance. John Wiley &
Sons
