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Monte Carlo methods: Choosing the best measure

I think you touch on these ideas in your question, so I'm sure some (or all) of this is review for you. But just to hopefully tie it all together: The risk-neutral measure is used (loosely speaking) ...
Rylan's user avatar
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Method for using Historical Simulation method on an Instrument priced using Monte Carlo

I am not sure what you mean by your second point, but to my knowledge, computing historical Value at Risk on a derivative is a full valuation exercise where you use historical data to simulate changes ...
arida's user avatar
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