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1 vote

What day count convention for pricing

Every market and product has its own pricing conventions that participants are just expected to know. Would guess most vol markets are actual/365 for black-scholes day-count while most swap markets ...
river_rat's user avatar
  • 1,080
1 vote
Accepted

How to fix my Monte Carlo simulation?

The problem is that the Heston process describes variance as a mean-reverting process (towards theta). Therefore, if you specify variance as higher than 0.0398 (the theta level it reverts to), the ...
KaiSqDist's user avatar
  • 1,474

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