question about the quantitative finance

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收藏 2010-12-28

dear fellow students:
i have a question about the value of the put option.
i have two methods: 1: B-S model, using the solution of SDE, carry out 500 simulations 2. use the B-S formula,
both of them have the same mu, sigma. S0 and r, T
why the mean of simulation is lower than the B-S formula

thank you very much
Best regard!

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zhandi123

2010-12-28 18:38:02

亲爱的学生：有关于出售选择权的价值的一个问题。有二个方法： 1 ：使用SDE的解答， B-S塑造，执行500模仿2.使用B-S惯例，他们两个有同样mu，斯格码。 S0和r， T why模仿手段低于B-S惯例thank非常您
Best尊敬!

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zhoutoub

2010-12-29 13:53:11

According to the law of large number, the mean should converge to BS formula. With small number of simulations, anything can happen.

nbfyjhz 发表于 2010-12-28 16:55
dear fellow students:
i have a question about the value of the put option.
i have two methods: 1: B-S model, using the solution of SDE, carry out 500 simulations 2. use the B-S formula,
both of them have the same mu, sigma. S0 and r, T
why the mean of simulation is lower than the B-S formula

thank you very much
Best regard!

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请注明：姓名-公司-职位

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zhoutoub

2010-12-29 13:53:43

If the mean is always lower, then there is a problem with your random number generator.

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