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Results tagged with monte-carlo
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user 18855
Monte Carlo simulation methods are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results.
1
vote
Geometric Brownian Motion - increasing simulations or smaller step size
a) there is no point to make any simulations between NOW and 1 YEAR. simulate 1 year stock price directly.
b) here you concern about PATH of stoch process, so simulate each day, but do not simulate " …
- 94
2
votes
Accepted
Barrier option : Monte carlo simulation
first question, are you talking about continuous or discrete barrier? they difference is very important. when you price cont barrier with MC you actually cannot observe stock continuously you observe …
- 94