3 ms·
I remember someone demanding that we needed to run our Monte Carlo pricer on 1024 paths, that 256 just wasn’t precise enough and one of the risk guys said “Well
by JackFr 5y ago
I remember someone demanding that we needed to run our Monte Carlo pricer on 1024 paths, that 256 just wasn’t precise enough and one of the risk guys said “Well since we know our assumptions are wrong I’m not sure what difference it makes.”
- brazzy 5y agoThe difference between precision and accuracy in a nutshell.