monte - carlo library stinson ,
i have created a directory ( o : \ research \ common \ projects \ options \ mclib )
to hold our monte - carlo models we developed in the past .
i have the following mc models :
1 . asian option with two - point vol structure
2 . asian barrier option
3 . asian spread option
4 . time spread option
5 . asian digital option
do we want to include models using american monte - carlo ?
i have
1 . american spread option
2 . option on min or max of n assets with n as an input
3 . omicron option model with 3 price processes
i suggest that all of us save a copy of monte - carlo models in this directory ,
from these ,
we can build a general monte - carlo library . we can also calculate the mc
greeks more
efficiently now .
zimin
monte - carlo library
stinson ,
i have created a directory ( o : \ research \ common \ projects \ options \ mclib )
to hold our monte - carlo models we developed in the past .
i have the following mc models :
1 . asian option with two - point vol structure
2 . asian barrier option
3 . asian spread option
4 . time spread option
5 . asian digital option
do we want to include models using american monte - carlo ?
i have
1 . american spread option
2 . option on min or max of n assets with n as an input
3 . omicron option model with 3 price processes
i suggest that all of us save a copy of monte - carlo models in this directory ,
from these ,
we can build a general monte - carlo library . we can also calculate the mc
greeks more
efficiently now .
zimin