Exact Forward in Monte-Carlo
3 Pages Posted: 14 May 2013 Last revised: 3 Jun 2013
Date Written: May 13, 2013
We look at how to reproduce a nearly exact forward price in Monte-Carlo with a term structure of interest rates or a term structure of dividends, in the case of the Black-Scholes model, as well as the local volatility and stochastic volatility models.
Keywords: Monte-Carlo, Finance, Option
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