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| bio | website | vytautas.s.blogspot.com |
|---|---|---|
| location | Amsterdam, The Netherlands | |
| age | 24 | |
| visits | member for | 2 years, 1 month |
| seen | Mar 26 at 20:08 | |
| stats | profile views | 30 |
MSc Student / Assistant Researcher
Data Mining & Quantitative Finance
Data Mining & Quantitative Finance
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Mar 28 |
answered | How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option? |
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Mar 28 |
comment |
How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option? Use google: google.nl/… |
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Mar 28 |
comment |
How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option? the original model - you mean the one based on log-normal distribution (3-line formula...) ? \\ Also what kind of validity are you looking for ? That it matches market price - it does if you calibrate it with implied vol... \\ And what is the Monte-Carlo for ? if you assume the same dynamics as BS - there is convergence of MC simulated option price... showed in every textbook |
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Mar 26 |
awarded | Student |
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Mar 25 |
comment |
Credit Valuation Adjustments — computation issues Some details for the question: 3000 scenarios, 10y horizon, 100 observation dates for the PFE. I managed to get my hands on the mentioned book, but i still don't see any example timings, which is mainly what i'm searching for... |
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Mar 25 |
comment |
Credit Valuation Adjustments — computation issues The book & the theory is not what i'm looking for. <br> I'm trying to get a picture on the computational complexity people face in practical implementations, runtime. |
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Mar 25 |
comment |
Credit Valuation Adjustments — computation issues A link ? If i google about it - i get a few papers on CVA on SWAPS (mainly D.Brigo) & lots of forum posts on how people have not clue how it works. |
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Mar 25 |
asked | Credit Valuation Adjustments — computation issues |
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Mar 25 |
awarded | Autobiographer |
