Message-ID: <1322139845476-4103714.post@n4.nabble.com>
Date: 2011-11-24T13:04:05Z
From: msalese
Subject: Option valuation for arbitrary distribution using monte carlo simulation
In-Reply-To: <4ECE33D4.7080803@nexgo.de>
Hi guys, I think that you can use what distribution you want.
Stable is one of that better fits the log returns (it's my opinion!)
But you can have more info giving a look at
http://www.mathestate.com/tools/Financial/map/Overview.html).
If you prefer you can price with GARCH to better reproduce the smile effect.
I'm a buyer side trader (risk taker), I price options only to create future
scenarios and on that scenarios I plan the reaction.
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