Artifical Data using Monte Carlo Simulations: Heston Model

This forum is to discuss the book "the concepts and practice of mathematical finance" by Mark Joshi.

Artifical Data using Monte Carlo Simulations: Heston Model

Postby Arjen » Wed Jun 10, 2015 6:54 pm

Hi,

I would like to generate artifical data using monte carlo simulations , so I can use the generated data for the parameter estimation of the Heston model. The actual taks is to estimate, but first artifical data is required.

So far, I have learned that monte carlo simulations can be used to approximate Option Prices.

I would like to know, where I can find the theory and the maybe even the code for generating sample paths of prices and volatilities. The books I have consulted so far do just cover the approximation topic I explained. I wonder how, two simulataneuos parameters ( price and volatilities) can be simulated and how variance reduction methods (covariates , antithetic, importance sampling) work in this context.

I would really appreciated any help.

Thanks

Regards,

Arjen
Arjen
 
Posts: 1
Joined: Wed Jun 10, 2015 6:42 pm

Re: Artifical Data using Monte Carlo Simulations: Heston Model

Postby isabella » Tue May 22, 2018 9:00 am

Thanks arjen.........

it was really helpful....

hi i m new member for this forum........

Any way it was useful..........

Get more details .... https://goo.gl/Wjzmf9 | https://goo.gl/zTKmZk
http://auditics.com/continuous-monitoring.html
isabella
 
Posts: 1
Joined: Tue May 22, 2018 8:50 am


Return to The concepts and practice of mathematical finance

Who is online

Users browsing this forum: No registered users and 1 guest

cron