Re: Question on PathGenerator

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/Question-on-PathGenerator-tp3287p3300.html

Hi Luigi

At 07:02 PM 9/2/2004, Luigi Ballabio wrote:
>On 2004.09.02 13:19, Neil P Firth wrote:
>>Storing the drift and diffusion values separately makes it easy to do
>>antithetic variates
>
>Hmm, not really.  If drift and diffusion are dependent on the value of
>the asset, it doesn't hold that the antithetic of (drift+diffusion) is
>(drift-diffusion)

yes, you're right. Anyway it is so common to have drift and diffusion not
dependent on the value of the asset: the point about simulating dS/S = mu
dt + sig dZ instead of dS = mu S dt + sig S dZ is indeed to have drift and
diffusion not dependent on S.

Of course this approach fails with local vol and other models, still it
might be worthwhile to allow for storing drift and diffusion separately.

ciao -- Nando