1 Jul 10:38
Monte Carlo simulation convergence issue
From: Yomi <guillaume.pealat <at> gmail.com>
Subject: Monte Carlo simulation convergence issue
Newsgroups: gmane.comp.finance.quantlib.user
Date: 2008-07-01 08:40:17 GMT
Subject: Monte Carlo simulation convergence issue
Newsgroups: gmane.comp.finance.quantlib.user
Date: 2008-07-01 08:40:17 GMT
Hi, I have created different engiens based on the MC simulation framework. I am experiencing some convergence issues. If I increase the number of steps the Max Time Step by year, the price starts to diverge. An example would be the following graph: http://www.nabble.com/file/p18211801/MC%2Bissues.jpg I have the following questions: 1. have you ever encountered such issues? 2. How to use the error estimate? Whatever the RNG I put (Low Discrenpancies, Pseudo Random...) I can nto access the error which might be usefull. Thanks -- -- View this message in context: http://www.nabble.com/Monte-Carlo-simulation-convergence-issue-tp18211801p18211801.html Sent from the quantlib-users mailing list archive at Nabble.com. ------------------------------------------------------------------------- Check out the new SourceForge.net Marketplace. It's the best place to buy or sell services for just about anything Open Source. http://sourceforge.net/services/buy/index.php
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