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Anyone know why the two Bitcoin Call Option Valuations get such different results: Python 361.203 and Julia 374.496? Monte Carlo will always some error but that
by spikels 13y ago
Anyone know why the two Bitcoin Call Option Valuations get such different results: Python 361.203 and Julia 374.496? Monte Carlo will always some error but that's a pretty big difference. Can't confirm which more correct right now.
- sirsar 13y agoThis bothered me as well. That's a 3.6% error, which is far from negligible. Was the main problem too few trials?
- rawrjustin 13y agothe problem seems to be too few trials. 10x the number of paths and the calculations for both languages converge on around 361ish