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Monte Carlo method

An approach to the problem of finding the probabilities with which the possible outcomes of a given activity, process, experiment, etc., may occur, based on experimentation and simultation. This is in contrast to an ‘analytical’ approach, which would use techniques of mathematical statistics to attempt to find a mathematical expression for these probabilities. In many real problems the complexity of the situation may be such that an analytical solution would be difficult or impossible. The procedure of repeating a large number of times the operation of the activity in the form of a model and using the results to build up the probability values of the outcomes may then be a cheap and accurate approach. This technique has received widespread use in operations research .

Reference: The Penguin Dictionary of Economics, 3rd edt.