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Jun
19
comment Vanilla European options: Monte carlo vs BS formula
Thanks!
Jun
19
comment Vanilla European options: Monte carlo vs BS formula
Thanks! Just one last doubt remains: up to how many decimals do I need to get the difference to vanish?
Jun
18
comment Vanilla European options: Monte carlo vs BS formula
@Vytautas. Thanks. What do you mean by close match? Up to how many decimals for instance?
Jun
18
comment Monte carlo methods for vanilla european options and Ito's lemma.
@chrisaycock: done
Jun
17
comment Monte carlo methods for vanilla european options and Ito's lemma.
Thanks for your reply too. My second question was not clearly formulated. I meant to ask: What is Ito's lemma used for in quantitative finance?
Jun
17
comment Monte carlo methods for vanilla european options and Ito's lemma.
Thanks for your reply. Yes I could have formulated my second question in a simpler manner: what is Ito's lemma used for in quantitative finance?
Jun
7
comment What is the unit of the Distance to Default measure?
thanks a lot!
Jun
6
comment What is the unit of the Distance to Default measure?
Thanks for your reply RichardH. Then what is the unit for the "next period"?
May
31
comment Linear combination of gaussian random variables
Thanks for this detailed answer Hassmann, the reason I asked this question is that according to my book, when a vector of risk factors is gaussian one can use Cholesky factorization; when it is not one has to use copulas for one's monte carlo simulations. Say I have three factors: underlying stock, stochastic IR and volatility. How do I know whether my vector is gaussian or not?
May
31
comment How do I estimate convergence in monte carlo methods?
Hello. I mean convergence of my results. I use Java in order to evaluate a European Option. So the results are the option prices. I have suceeded in calculating the sample variance running 20 runs. I am not sure if there is a better alternative than the sample variance. Julien.