afoster28 / opt_portfolio_variance

Option portfolio variance in CPP
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Underlying Price (random sample) #10

Closed afoster28 closed 7 months ago

afoster28 commented 8 months ago

basically, you generate a distribution of log prices (sample random values from the distribution), exponentiate them and use as the price dist instead of MC prices params to be used are 5% r and 20% sigma (given in exercise) advantage of this is no need to consider step size that would have had otherwise in MC simulation, i.e. avoiding troubles with numerical methods