<t>Thanks AaronJust out of interest, if you want derivative estimates throughout the life of the option and not just at t = 0, why can't you use the expression S(t+1)=S(t)*exp((r-vol*vol/2)+vol*z*sqr(dt)) and why must you use Euler?I can still use this expression to calculate the stock price at ever...

<t>Hi,I'm currently looking at 2 analytical approximations for arithmetic asian fixed strike options:Turnbull and Wakeman and Levy. Does anyone have the analytical expressions for the deltas and vegas for either of these 2 approximations? I could derive it myself using the derivations of delta and v...

<t>Thanks AaronSo basically you're saying simulate the volatility process using Euler but you can still use the lognormal assumption for the stock price: S(t+1)=S(t)*exp((r-vol*vol/2)+vol*z*sqr(dt)), with the value of vol equal to to the value given by the Heston model for that timestep.This should ...

Thanks for the post, I will try it out. BTW does the timer count just in seconds, or a combination of minutes and seconds? Can you get it to count just in seconds?ThanksNewFinance

Hi,I want Excel to measure the time it takes to run one run of my simulation (which includes all price paths), and record the time in a cell on the spreadsheet. if anyone could post some VBA code or give me some pointers that would be very helpful.Thanks in AdvanceNewFinance

<t>Thanks for the advice AaronI think maybe it's for particular parameter values, the code is fine as far as I can see.I also had another question, when you're simulating the stock prices under the Heston model can you still use the exact soluation, which assumes lognormality : S(t+1)=S(t)*exp((r-vo...

<t>HiMy Monte Carlo simulation using the Heston model works fine most of the time. However every so often the values for the European Call and Put or Asian Call and Put go off the scale, something of the order of (10^20) etc. Has anyone suffered this problem in the past? and if so what have you done...

<t>HiMy Monte Carlo simulation using the Heston model works fine most of the time. However every so often the values for the European Call and Put or Asian Call and Put are massive, something of the order of (10^20) etc. Has anyone suffered this problem in the past? and if so what have you done to s...

No one interested?

<t>Hi,I have a basic question regarding the Heston Model of stoch vol. If you are doing a Monte Carlo simulation then can you still simulate the stock price as the exact expression:S(t+1)=S(t)exp{[r-0.5*sigma*sigma]dt+sigma*Z*sqrt(dt)} or do you have to use an Euler discretization?Also is there is a...

Could someone answer my question?ThanksNewFinance

<t>Hi, I also have a basic question regarding the Heston Model. If you are doing a Monte Carlo simulation then can you still simulate the stock price as the exact expression:S(t+1)=S(t)exp{[r-0.5*sigma*sigma]dt+sigma*Z*sqrt(dt)} or do you have to use an Euler discretization.Also is there is also a s...

<t>NandoThanks for the advice. I simulated the price paths using Halton numbers in order to price a standard Europeanput option with one year to maturity and sampling once a week. As a result I hsd to go up to base 239 for the 52nd time step. I used 5000 simulations (from N=1 To 5000) and the values...

<t>HiI am having some difficulty with using this quasi-random sequence to generate price paths, probably through a misunderstanding of how Halton works.I have no problem in generating the uniforms using Halton numbers, . I've priced a vanilla European option under normal Black Scholes assumptions, b...

<t>Lollilo and DavidJN,Thanks very much for the attachments you sent me.Lolillo, you are correct, the spreadsheet you used (David JN's document basically explained the same thing) could be modified to give the delta at each timestep of a monte carlo, but it would take a very long time (in Excel VBA ...