Posted by
langda tyagi on
May 05, 2011; 7:40pm
URL: http://quantlib.414.s1.nabble.com/Sobol-sequences-question-regarding-correct-usage-tp8749.html
Hi,
I am using QuantLib, but my question is somewhat more conceptual in nature, and was hoping someone might have an answer.
I am valuing a derivative (european style) with 45 underlying stock prices, to be averaged over last 90 days of the term.
I am using Quasi Random nos (sobol), but not sure I am doing it right.
First I am not sure what is the dimension that I should sample the sobol for.
Is it:
a. 45 (one for each stock)
b. 90 (one for each day)
c. 4050 (45 * 90, though I suspect in this case using quasi random nos might not be suitable)
I would really appreciate your inputs on this, or if you could point me in some direction.
regards
Tyagi
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