3 ms·
So if I want to price a barrier in Bermudan rainbow via Monte Carlo I should take the speed hit for a few oddball double rounding problems that are pennies?
by wbl 2y ago
So if I want to price a barrier in Bermudan rainbow via Monte Carlo I should take the speed hit for a few oddball double rounding problems that are pennies?
- fluoridation 2y agoI mean, you do you. People generally don't complain if you're a couple hundred nanoseconds (if that) late. They do complain if your accounts don't add up by a single penny.
- wbl 2y agoThe quoting of something exotic like this is not well defined to the penny. It's transactions where people really care about pennies.