Exact Forward in Monte-Carlo

3 Pages Posted: 14 May 2013 Last revised: 3 Jun 2013

Date Written: May 13, 2013

Abstract

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

Suggested Citation

Le Floc'h, Fabien, Exact Forward in Monte-Carlo (May 13, 2013). Available at SSRN: https://ssrn.com/abstract=2264327 or http://dx.doi.org/10.2139/ssrn.2264327

Fabien Le Floc'h (Contact Author)

Calypso Technology ( email )

106 rue de la Boetie
Paris, 75008
France

Independent ( email )

France

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