Monte Carlo simulation methods uses repeated random experiments to determine results.

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Simulating conditional expectations

There is a multidimensional process X defined via its SDE (we can assume that its a diffusion type process), and lets define another process by $g_t = E[G(X_T)|X_t]$ for $t\leq T$. I would like to ...
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479 views

How to apply quasi-Monte Carlo to path-dependent options?

Following up on my recent question on variance reduction in a Cox-Ingersoll-Ross Monte Carlo simulation, I would like to learn more about using a quasi-random sequence, such as Sobol or Niederreiter, ...
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309 views

How to reduce variance in a Cox-Ingersoll-Ross Monte Carlo simulation?

I am working out a numerical integral for option pricing in which I'm simulating an interest rate process using a Cox-Ingersoll-Ross process. Each step in my Monte Carlo generated path is a ...
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496 views

Monte carlo portfolio risk simulation

My objective is to show the distribution of a portfolio's expected utilities via random sampling. The utility function has two random components. The first component is an expected return vector ...
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526 views

Reference on Markov chain Monte Carlo method for option pricing?

I have to implement option pricing in c++ using Markov chain Monte Carlo. Is there some paper which describes this in detail so that I can learn from there and implement?
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Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia?

Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia on a security-by-security basis with a medium term horizon (say 3 month to 12 months horizon)? ...
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Black Scholes and Monte Carlo implementations in Java [duplicate]

Possible Duplicate: Is there an all Java options-pricing library (preferably open source) besides jquantlib? Can anyone recommend a library with an implementation of Black Scholes and Monte ...
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How useful is Markov chain Monte Carlo for quantitative finance?

Naively, it seems that Bayesian modeling, structural models particularly, would be quite useful in finance because of their ability to incorporate market idiosyncrasies and produce accurate ...
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Portfolio optimization with monte carlo sampling from predictive distribution

Let's say we have a predictive distribution of expected returns for N assets. The distribution is not normal. We can interpret the dispersion in the distribution as reflection of our uncertainty (or ...
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How do I estimate convergence in monte carlo methods?

I am experimenting with Monte Carlo methods. I'd like to measure/estimate convergence with a graph/chart. How do I do that? Can anyone please direct me to relevant documentation/links or even give me ...
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Divergence issue with my monte carlo pricer…

I am trying to implement a vanilla European option pricer with Monte Carlo and compare its result to the BS analytical formula's result. I noticed that as I increase (from 1 million to 10 millions) ...
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Vanilla European options: Monte carlo vs BS formula

I have implemented a monte carlo simulation for a plain vanilla European Option and I am trying to compare it to the analytical result obtained from the BS formula. Assuming my monte carlo pricer is ...
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Mersenne twister random number generator in Java for Monte Carlo Sim.

I am using the Mersenne twister random number generator in Java for a Monte Carlo Simulation. I need a uniform distribution of values between -1 and 1. My code is below (I am importing ...
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210 views

Picking from two correlated distributions

Can anyone provide a simple example of picking from two distributions, such that the two generated time series give a specified value of Pearson's correlation coefficient? I would like to do this in ...
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819 views

Simple model for option premium (for covered call simulation)?

Given a historical distribution of weekly prices and price changes for a stock, how can I estimate the the option premium for a nearly at-the-money (ATM) option, say with an expiration date 3 months ...