Talk:Monte Carlo methods for option pricing
This article is rated C-class on Wikipedia's content assessment scale. It is of interest to the following WikiProjects: | |||||||||||||||||||||
|
Reference to cosmic radiation
editI don't see the need for the reference to cosmic radiation, it seems kind of random. Finnancier 04:24, 15 September 2007 (UTC)
Reference to LURCH
editI don't see the need for the reference and link to LURCH, it is an unrelated (or almost unrelated) technique in a different field. Encyclops 14:55, 15 September 2007 (UTC)
Constant Drift?
editAs we know, the price movements of underlying option's assets, show all but constant drift. Can the MC option model be tweaked to take into account random steps of random size? Harol2 (talk) 12:06, 18 May 2008 (UTC)
- Yes, that would be described as a Stochastic Volatility MC model. A casual Google search ("Heston Monte Carlo") even uncovers source code for such a model within the first few hits: [1] . The basic idea is that two random processes have to be simulated: the first one represents the current volatility of the market, and the second random process is the asset price itself. (By the way what you call drift is more commonly called diffusion or volatility. The word drift is usually reserved for the long term movement in one direction). Encyclops (talk) 14:35, 18 May 2008 (UTC)
This is not a model
editThis article is not about a model, it's about a method to calculate the value of an option. For this reason, I suggest that it be moved to Monte Carlo option pricing, Monte Carlo method for option pricing, or something similar, or perhaps merged with Monte Carlo methods in finance. /Pontus (talk) 12:45, 30 September 2008 (UTC)
- I left some comments on the merge request at Talk:Monte Carlo methods in finance. I also agree with the renaming need above. - Taxman Talk 15:21, 23 December 2008 (UTC)
- I like Monte Carlo method(s) for option pricing. Now, should it be method or methods? I think methods, since it's really a family of methods that's being discussed. --Kalbasa (talk) 15:51, 23 December 2008 (UTC)