QuoteOriginally posted by: PolterQuoteOriginally posted by: CuchulainnQuoteI must say I think the first result is a bit strange? How come different fdm methods don't give different results? I think1. the methods are close in accuracy anyways2. large NT, NSI can take NT = 100 and then see ....Cuch, when increasing NT and NS, try to do this in a controlled manner, preferably along the asymptotic optimal tradeoff curve (note: different proportionality exponent for a different order). See Duffie, D. and Glynn, P. (1995) "Efficient Monte Carlo Simulation of Security Prices."// http://www.stanford.edu/~duffie/jstorli ... ynn1.pdf//
Further refinement (attempt at estimating the unknown optimal constant of proportionality): http://citeseerx.ist.psu.edu/viewdoc/do ... ype=pdfyes
, good idea.It was only today we got the stuff up and running Btw whatever, sitmos result look good. Most of my schemes are weak or strong convergent of order dt, dt^1/2.Till now I am doing GBM and plain options. The code also supports Asian, barrier and lookbacks and path dependencies.