Which numerical method should you use for BGM model
You need to price a fixed-income contract by using the BGM model. Which numerical method should you use?
Expert
BGM is geared up for solution along with simulation; therefore you would use a Monte Carlo simulation.
Illustrates an example of real probabilities to price derivatives?
Explain stochastic volatility.
Explain boundary/final conditions in Monte Carlo method.
Explain Central Limit Theorem with an example of random variables.
Explain what is a Monte Carlo method?
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Explain the stochastic volatility in an option-pricing.
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