期权,期货及其衍生品第20弹.pptVIP

* * * * * * * * * * * * * * * * * * * * * * To Obtain 2 Correlated Normal Samples Obtain independent normal samples x1 and x2 and set Use a procedure known as Cholesky’s decomposition when samples are required from more than two normal variables (see page 450) Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Standard Errors in Monte Carlo Simulation The standard error of the estimate of the option price is the standard deviation of the discounted payoffs given by the simulation trials divided by the square root of the number of observations. Options