Quasi Monte Carlo simulation for European Options under Stochastic Volatility Model

[Sinan Ulusoy]

Hello all;

I decided to do a project(Quasi Monte Carlo Simulation for my Advanced Derivatives Class and the professor wanted me to determine which financial model I will use and what type of risk problems I will study on my project.I decided to go with stochastic volatility model and the risk part will be the stock price fluctuations.Therefore I will add Greeks as well.That is the infrastructure of my project.What do you think?Do I follow a legal path?


Thanks in advance

 

[Daniel Duffy]

Hello all;

I decided to do a project(Quasi Monte Carlo Simulation for my Advanced Derivatives Class and the professor wanted me to determine which financial model I will use and what type of risk problems I will study on my project.I decided to go with stochastic volatility model and the risk part will be the stock price fluctuations.Therefore I will add Greeks as well.That is the infrastructure of my project.What do you think?Do I follow a legal path?


Thanks in advance

Have you done any preliminary research/investigation? What feedback is your professor expecting?

 

[Genesix]

Use Sobol Sequence?

 

[Sinan Ulusoy]

Have you done any preliminary research/investigation? What feedback is your professor expecting?

I read some published papers about Monte Carlo Simulation and I have knowledge about stochastic volatility model from the class.

 

[Sinan Ulusoy]

Use Sobol Sequence?

I can illustrate Sobol Sequence as an example of Quasi Monte Carlo method but the professor wanted me to literally state which financial model I will use for the project and which risk problem I will study on the project.

 

[Daniel Duffy]

I read some published papers about Monte Carlo Simulation and I have knowledge about stochastic volatility model from the class.

Paul Glasserman's book on MC is a good starting point.

 

[Sinan Ulusoy]

I have that book thank you for suggestion.I can get the code of Sobol Sequence from the book but I don't know how to address the financial model and particular risks I am studying.
I am newbie and need to learn a lot!

 

[Sinan Ulusoy]

Any other suggestions folks?