Hot answers tagged correlation-matrix
7
Yes, you need Cholesky factorization.
You can find the general idea here:
http://www.goddardconsulting.ca/option-pricing-monte-carlo-basket.html
Plus the implementation in MATLAB here:
http://www.goddardconsulting.ca/matlab-monte-carlo-assetpaths-corr.html
The code in general should be easily translatable. The only difficulty is the Cholesky factorization ...
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