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Monte Carlo for newbies
- Thread starter Andy Nguyen
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- 11/16/08
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hello everyone,
i am trying to simulate the path of an asset over time (let say one year) between two points using Brownian bridge (like for stress tests). I was wondering if it was possible to split the yearly simulations into twelve monthly MC simulation?
Instead of computing one final value, we get one path.
Is MC still appropriate?
i am trying to simulate the path of an asset over time (let say one year) between two points using Brownian bridge (like for stress tests). I was wondering if it was possible to split the yearly simulations into twelve monthly MC simulation?
Instead of computing one final value, we get one path.
Is MC still appropriate?
Abdel
Economist
- Joined
- 5/22/11
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- 303
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+1Thank you. I've been looking for something like this. If you have something similar on Brownian motion, PDEs, stochastic processes, please don't hesitate to share.
