Timeline for How to perform Monte-Carlo simulations to price Asian options?
Current License: CC BY-SA 3.0
15 events
| when toggle format | what | by | license | comment | |
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| Feb 22, 2017 at 9:45 | history | edited | SRKX | CC BY-SA 3.0 |
added 19 characters in body; edited title
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| Feb 21, 2017 at 13:32 | answer | added | jaehyukchoi49 | timeline score: 3 | |
| Oct 2, 2016 at 11:24 | history | tweeted | twitter.com/StackQuant/status/782541667786223620 | ||
| Sep 29, 2016 at 20:15 | comment | added | Yian Pap | I do think you will find this helpful. You can use it to make sure the result from your MC implementation with Milstein is correct (or also try Euler and the exact marching scheme as well). You can also price arithmetic Asians with finite differences and compare, make it American/Bermudan, try QMC and more (if you decide to implement any of those things later on down the road). Quantuple's suggestion on the missing $ S_t $ is of course correct. | |
| Sep 29, 2016 at 17:32 | comment | added | Quantuple | This is exactly my point :) Thing is you'll get the wrong variance if you omit that $S_t$ although the first moment will be fine. To convince yourself compare the variance of the simulated stock prices $S_t$ you get at a certain time $0 < t < T$ with its theoretical value (should be $(S_0e^{rt})^2)(e^{\sigma^2 t}-1)$) | |
| Sep 29, 2016 at 17:32 | comment | added | mathnoob | Thanks for pointing that out. I'd give you a thumbs up but I don't really know how to do it for comments. Still figuring out how to use this website. | |
| Sep 29, 2016 at 17:28 | vote | accept | mathnoob | ||
| Sep 29, 2016 at 17:26 | comment | added | mathnoob | The final term doesn't match. I get $0.5 \sigma_t^2 S_t dt(Z^2-1) $ | |
| Sep 29, 2016 at 17:15 | comment | added | Quantuple | Take equation (16) of your paper and substitute the drift and diffusion terms as per the first lines of section 2.1. what do you get? Or simply analyse the dimensions of each term, or observe how the model should be homogeneous in space. | |
| Sep 29, 2016 at 17:10 | comment | added | mathnoob | This is interesting. I actually agree with you but looking at two different papers, frouah.com/finance%20notes/… and vlebb.leeds.ac.uk/bbcswebdav/orgs/SCH_Computing/FYProj/reports/…. They seemed to both not include the $/ S_t $. | |
| Sep 29, 2016 at 17:06 | answer | added | Alex Ockenden | timeline score: 2 | |
| Sep 29, 2016 at 16:58 | comment | added | Quantuple | Are you sure of the last term in your Milstein scheme? $S_t$ seems to be missing IMHo. The rest looks fine to me although what you call payoff is actually the discounted payoff. | |
| Sep 29, 2016 at 16:53 | answer | added | LocalVolatility | timeline score: 6 | |
| Sep 29, 2016 at 16:40 | review | First posts | |||
| Sep 29, 2016 at 19:46 | |||||
| Sep 29, 2016 at 16:39 | history | asked | mathnoob | CC BY-SA 3.0 |