network profile
| bio | website | |
|---|---|---|
| location | Paris, France | |
| age | ||
| visits | member for | 1 year, 11 months |
| seen | Nov 27 '12 at 16:32 | |
| stats | profile views | 20 |
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Jun 19 |
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Vanilla European options: Monte carlo vs BS formula Thanks! |
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Jun 19 |
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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? |
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Jun 18 |
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Vanilla European options: Monte carlo vs BS formula @Vytautas. Thanks. What do you mean by close match? Up to how many decimals for instance? |
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Jun 18 |
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Monte carlo methods for vanilla european options and Ito's lemma. @chrisaycock: done |
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Jun 17 |
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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? |
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Jun 17 |
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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? |
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Jun 7 |
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What is the unit of the Distance to Default measure? thanks a lot! |
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Jun 6 |
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What is the unit of the Distance to Default measure? Thanks for your reply RichardH. Then what is the unit for the "next period"? |
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May 31 |
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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? |
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May 31 |
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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. |
