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Monte Carlo Caps

DIM

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,
 
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