Monte Carlo Tools

Analysis of model with

Tutorial File: Monte Carlo Tools.pdf

Model Selection & Parameters

Model

$$ \mu $$

$$ \sigma $$

$$ \mu $$

$$ \sigma $$

$$ l $$

$$ \rho $$

$$ \eta_{1} $$

$$ \eta_{2} $$

$$ \mu $$

$$ v_0 $$

$$ \omega $$

$$ \alpha $$

$$ \beta $$

$$ \gamma $$

$$ \mu $$

$$ v_0 $$

$$ \alpha $$

$$ \beta $$

$$ \eta $$

$$ \rho $$

Simulation Parameters

Starting Value

Time to Maturity (Years)

Number of Steps

Number of Paths