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HaroldRKingsberg / MLMC

Multi-level Monte Carlo simulation of option pricing
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Epsilon input for std MC and MLMC #12

Open mtran2011 opened 7 years ago

mtran2011 commented 7 years ago

simple_layer_heston_swap

Hi guys I have a quick q re: if the definition of epsilon input for naive MC and MLMC is the same/consistent; just wanna double check if we target std dev in one case, and interval width in another. It's strange that in my above run pic, Std MC has lower cost than MLMC for big epsilon

HaroldRKingsberg commented 7 years ago

We don't care about savings on big epsilon, we care about savings on small epsilon. Nobody wants a big error faster, people want a small error faster.

On 5/14/17, mtran2011 notifications@github.com wrote:

simple_layer_heston_swap

Hi guys I have a quick q re: if the definition of epsilon input for naive MC and MLMC is the same/consistent; just wanna double check if we target std dev in one case, and interval width in another. It's strange that in my above run pic, Std MC has lower cost than MLMC for big epsilon

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