# 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 perform Monte Carlo simulations to price a Forward contract under the Schwartz mean reverting model?

Objective: (1) Implement the Euler Explicit Method for solving the PDE for option prices under the Schwartz mean reverting model. (2) Compare with a Monte Carlo simulation. I'm stuck with point 1 (...
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### Heston Discretization dt

Iām trying to figure out the discretization of the Heston model. In the choice of dt, I have seen several ways that people specify this number. Would it not just be ...
40 views

### Simulation of price ratios

How to go about simulations of variables like price-to-book or dividend yield? Basically I would like to do a simulation based testing of an investing strategy (other than historical simulation). Itās ...
82 views

### Cox-Ingersoll-Ross: Monte Carlo Simulation

I am trying to build a Monte Carlo simulation in Excel (yes, far from optimal) for valuation of a callable bond. I have some experience with MC simulation on path dependent derivatives with stocks as ...
63 views

### Issue in Pricing Binary Options using Heaviside Function and QuantLib Python

I am trying to price binary option using MC Simulation and Python QuantLib Library. The price of the option matches with the Analytical Engine. However, I am not sure how to incorporate the Heaviside ...
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### Issue in Pricing Barrier Options using MCBarrierEngine in QuantLib Python

Extremely sorry for bugging the community again, but I am struggling with finding proper documentation of QuantLib Python. I am trying to price Barrier Option using MC Simulation. Here is the code: <...
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### Which infinite activity Levy process is the most popular for option pricing

Hey I heard about different Levy processes with infinite activity like VG, NIG, Meixner or CGMY process, but which proccesses are the most popular? And which processes can be simulated (as simple as ...