# 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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### Antithetic sampling on non-linear payoff?

If I wish to price an option with Monte Carlo using the standard GBM process, which have payoff $(max(S-K,0))^2$ Why is it not suitable for a non-linear payoff?
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### Monte Carlo simulation based VaR: daily vs annual parameters

I am given the initial price, annualized return, and volatility of a security. I am trying to calculate annualized VaR using Monte Carlo simulation approach. To do this I will use the following ...
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### Monte Carlo simulation error estimation

How does one estimate the error of a Monte Carlo simulation, for example, of the price of a European call under the Heston model with a given step size and number of paths?
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### 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 ...
2answers
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### 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 ...
2answers
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### 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 ...
1answer
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### 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 ...
1answer
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### 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 ...
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### Pricing of put option with Black Scholes & Monte Carlo simulation [closed]

I have the following problem with a put option in a black scholes setting. Consider a put option with time to maturity $T = 1$ and the underlying return $R$ following the log-normal model with ...

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