Timeline for Why does changing the time step size in my Monte Carlo simulation change my result a lot?
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Sep 1, 2015 at 18:15 | comment | added | AFK | Try simulating the log spot instead of the spot itself. This way there will be no discretisation error. | |
| Sep 1, 2015 at 7:27 | vote | accept | CommunityBot | ||
| Sep 1, 2015 at 6:29 | comment | added | user16556 | Yes that's what I expected but I'm not observing that. It must be my implementation that is wrong. The discretization is the usual Euler scheme and it is the standard Black Scholes pricing model. | |
| Sep 1, 2015 at 6:24 | comment | added | SRKX | I'd go for 2), he's probably no scaling the volatility of the steps correctly, which makes the underlying asset is far too volatile and hence the price of the option (I guess?) becomes higher. | |
| Sep 1, 2015 at 6:20 | history | answered | Mark Joshi | CC BY-SA 3.0 |