In this example there is only one time step (N = 1) because we only need to simulate asset prices at the maturity date of the option. This technique can be easily applied to virtually any Monte Carlo simulation to improve the efficiency. In the next section we describe more advanced variance reduction methods based on the hedging ana1ogy.
In this example there is only one time step (N = 1) because we only need to simulate asset prices at the maturity date of the option. This technique can be easily applied to virtually any Monte Carlo simulation to improve the efficiency. In the next section we describe more advanced variance reduction methods based on the hedging ana1ogy.
In this example there is only one time step (N = 1) because we only need to simulate asset prices at the maturity date of the option. This technique can be easily applied to virtually any Monte Carlo simulation to improve the efficiency. In the next section we describe more advanced variance reduction methods based on the hedging ana1ogy.