- Joined
- 9/16/15
- Messages
- 1
- Points
- 11
Hi there,
Would like to know how the time value of a cap is handle in a MC Simul?
I have created a Matlab function for this but my simulation seems to match only the fair/instrinsic value of the pay off. Should have something to do with the distribution profile of the simulation.
Thanks,
Would like to know how the time value of a cap is handle in a MC Simul?
I have created a Matlab function for this but my simulation seems to match only the fair/instrinsic value of the pay off. Should have something to do with the distribution profile of the simulation.
Thanks,