A dynamic strategy that replicates the payoff of a derivative described as a stochastic process
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Updated
May 29, 2016 - HTML
A dynamic strategy that replicates the payoff of a derivative described as a stochastic process
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An asset-pricing model using historical prices. Volatility of the asset is modeled as the random variable that changes over time and each iteration. For modelling the future price behavior, Monte Carlo simulations were performed.
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This is where I originally designed my Monte Carlo simulation package (MCmarket) my Mcom financial econometrics course work at Stellenbosch University.
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