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Thumbnail for entry Lectures 65-66: discretization and Monte Carlo errors

Lectures 65-66: discretization and Monte Carlo…

duration 1 hour 33 minutes

Lectures 65-66: discretization and Monte Carlo…

Lectures 65-66: discretization and Monte Carlo errors

Lectures 65-66: discretization and Monte Carlo errors

Discretization error and Monte Carlo error. Acceleration techniques. Introduction to MATLAB. Pricing of an Asian option: a horse-race among VBA, MATLAB and parallelized MATLAB codes.

monte carlo method
monte carlo error
discretization error
euler scheme
matlab
vba
parallel computing
From  Tiziano Vargiolu 7 plays 0