Thank you. You helped me get a better understanding of the problem.Now I "only" have to find a solution, but I least my ideas are clearer.

<t>If you want to use the "most likely" value as a forecast (as opposed to pricing contingent claims for example), one desirable property would be to have a value that corresponds to something "real".For instance, let's say that I have a population with 60% measuring 1.60m and 40% measuring 1.80m.Al...

<t>I thought about it also, but the median can also be an infrequent or impossible value.It seems I need to be able to characterize the distribution first (perhaps by comparing the expected value/Mode/Median) before I can choose which value corresponds better to the "most likely" value that I can th...

I simulate f(X) with X multi variate Gaussians and f() highly non linear.The distribution I am talking about is the distribution of f().I hope I am clear?

<t>I work on empirical distributions generated by a Monte Carlo. Some of these distributions are close to Gaussian, other looks more like Multinomials and still others like uniforms.My problem is to find a common value for representing the "central case". For Gaussian and uniforms, I can use the E[]...

<r>Quote I believe that the t distribution is infinitely divisible, so there does exist a Levy process such that every increment of the process over a fixed unit of time has a t distribution.However, the characteristic function of this process is either unknown or very messy.That's also what I was t...

But I don't want to price derivatives, just to simulate asset prices.Thanks a lot.

<t>Hi all,I want to simulate asset prices using a student distribution instead of a log normal (because I found out that the fat tails of those assets returns were better modeled using the t-distrib).My problem is that whereas in the case of the lognormal random walk: dS/S = mu dt + sigma dWtI can u...

<t>QuoteOriginally posted by: twIs this an option to buy a fence/risk-reversal? i.e. payoff max( call(strike=40)-put(strike=25) - premiumstrike, 0)Exactly. It is an American option to buy a fence. The physical nature comes from the fact that these call/puts are implied (they are embedded in the actu...

<t>Hello,I am trying to price a physical option:Basically, you have the right during 1 year to book a physical vessel (payoff = call strike 40 - put strike 25).So this looks like a fwd start option, **but** if the spot is way above the call strike, then the traders have the option of purchase the op...