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- 1/3/19

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I'm trying to reply Stulz Model closed solution by Monte Carlo Simulation but I don't obtain the same output for a basket of two equities. I mean the option price for Min(Equity 1, Equity 2).

I'm using the Matlab’s function minassetbystulz and Espen Gaarder Haug excel function. In both cases, I obtain the same option price but when I use Monte Carlo Simulation I don’t obtain the same option price. To simulate the basket I consider Cholesky.

I price vanilla options by Monte Carlo Simulation (I mean the script used to simulate) and the option prices are similar than Black Scholes for the two equities; so I guess there are not mistakes in Monte Carlo Simulation script.

Any idea?

Thanks