monte carlo simulation in basket default swap pricing

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monte carlo simulation in basket default swap pricing

Postby ahmed32 » Tue Jan 07, 2014 11:06 pm

What statistics should be computed when carrying out monte carlo simulations to price basket default swaps?
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Re: monte carlo simulation in basket default swap pricing

Postby mj » Sun Jan 12, 2014 3:06 am

normally people compute mean and standard error.
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Re: monte carlo simulation in basket default swap pricing

Postby ahmed32 » Tue Jan 14, 2014 2:07 pm

thanks mj.

other questions that I have is how many iterations should there be in a simulation and how long should a simulation ideally take?
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