# Questions tagged [monte-carlo]

Monte Carlo simulation methods are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results.

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### How to price a barrier using monte carlo when return distribution is not iid?

this question is actually related to set the stop loss and stop return. Say after a liquidity shock, I want to place two stops, one being stop loss and another being stop return. If I use, say 10 ...
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### How can I estimate the time-varying θ term in the Hull-White one factor model?

I am trying to simulate the prices of bond indexes (e.g. Barclays Aggregate, IBOXX sovereign, IBOXX corporates) using Monte Carlo assuming that they follow the SDE given by the Hull-White model (one-...
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### Computing Montecarlo VaR for a single asset

I'm trying to understand the procedure to compute the Value-at-Risk for a single asset by implementing the Montecarlo technique. Here it follows the procedure step-by-step in 5 points: selecting the ...
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### Monte Carlo Simulation of price processes

before I ask my question I want to illustrate what I think I know about Monte Carlo simulation: say I want to simulate the price paths of one European Call Option with fixed strike and maturity in the ...
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### Advantage of solving the Fokker-Planck equation over Monte-Carlo simulations

For a standard Ito process $$dX_t = \mu(X_t, t) \,dt + \sigma(X_t, t) \,dW_t,$$ the Fokker-Planck or forward Kolmogorov equation gives an equation for the probability density $p ( x , t )$ of the ...
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### Monte-Carlo simulation Hull-White process

I have one question about Monte-Carlo simulation Hull-White process, maybe you can give me some advice. I constructed a Hull-White process using Python and QuantLib. Now I want to construct a Hull-...
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### generating a correlated RV which has the same correlation to existing samples

Suppose I have generated a collection of correlated sequences of samples $(S_i)_{i=1}^{n}$ from random variables $\mathbf{\underline{x}} = x_i$. Let's fix a sequence of reals $(\sigma_i)_{i=0}^{n}$. ...
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### Question about the process of monte carlo simulation

I have encountered an interesting question. Is it better to simulate the geometric brownian motion process for call itself or GBM for the underlying. My question is can we actually apply GBM to call? ...
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### Multithreading Monte-Carlo pricing in QuantLib for a single product

I've been actively using QuantLib for structured product pricing using Monte Carlo. Due to the fact that at a great deal of paths are often needed and one needs to speed up the calculation and all ...
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### Least Squares Monte Carlo Method for Option Pricing - Basis functions

I am trying to implement a LSMC to value an american-style real option with an underlying project value that is exposed to several risk factors. In the paper of Longstaff & Schwartz, they use the ...
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### Do we need to derive the PDE for the option price when applying Least Squares Monte Carlo?

I want to price an American call option based on an underlying that follows a jump-diffusion process with an inhomogeneous jump frequency function. My mathematical skills are not sufficient to derive ...
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### The last step of the Longstaff-Schwartz method

I'm reading An analysis of the Longstaff-Schwartz algorithm for American option pricing, by Clement, Lamberton and Protter. They define the stopping times (top of page 4)  \tau_j^{[m]} = \begin{...
I am currently trying to price an up-and-out call with Monte Carlo simulation. For an option with these parameters : Barrier: 65 $K$ = 50 $\sigma$ = 30% $R$ = 1% $T$ = 1Y $S_0$ = 50 With 10.000 ...