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.
358
questions
-1
votes
1answer
341 views
CMS convexity adjustment in a range accrual Monte Carlo
I'm trying to price a CMS indexed range accrual using Monte Carlo simulations. Let's say i have n trajectories of ZC rates using G2++ model under risk neutral measure. My question is how do i take ...
-1
votes
1answer
69 views
Given a particular Monte-Carlo simulation, how will a different correlated value change
I am currently working on a project at an investment bank regarding new accounting regulations on financial instruments. The task at hand it to understand the connection between a large array of ...
-1
votes
1answer
158 views
Use random-shift Halton sequence to obtain 40 independent estimates for the price of a European call
Background Information:
Random-shift Halton sequence: Consider the first six Halton vectors in dimension $2$, using base $2$ and $3$:
$$\begin{bmatrix}
1/2\\
1/3
\end{bmatrix}, \begin{bmatrix}
1/4\\
...
-1
votes
1answer
495 views
quantstrat for backtesting vs. writing one's own code in R
I have invested a few years in learning R and have developed a number of Monte Carlo backtesting scripts. My question is this: In general, for a person with some experience writing R code who is ...
-2
votes
2answers
318 views
Modeling stock performance in excel
I am trying to model the ending value of a stock after a certain number of years, I need it for a bigger project but I made this sample sheet to get help.
This sheet is assuming that annual returns ...
-2
votes
1answer
518 views
Log-moneyness definition [closed]
Define the time-0 log-moneyness of a call on stock $S$ with strike $K$ and expiry $T$ to be:
$$\log(S(0)\exp(rT)/K)$$
What does it mean for the strikes K to be at-the-log-moneyness?? I guessed this ...
-2
votes
2answers
508 views
Least-Squares-Monte-Carlo by Neural Network Estimator for pricing American Option Python [closed]
First I did the LSM (Longstaff-Schwartz) to understand how its work to price an American option.
code for standard_normal
...
-2
votes
1answer
2k views
Monte carlo simulation for arithmetic average price asian option [closed]
I am trying to construct a method in python that evaluates the value of an Arithmetic Asian Option using standard Monte Carlo simulation (without control variates). However, I am not getting the ...
