E
Edwin
Member
I just performed the simulation exercise to estimate pi, however my simulation is nowhere close to 3.1428.... the average value is around 2!
Surprisingly i used 4177 different values of the (x,y) coordinates since it failed to convergence for the first 100 as suggested by table 20.1 of Hull, 8th edition. I don't know what's wrong since I checked the excel formulas many times.
On the other hand the simulation I did to price the Option struck at 50 as in table 20.2 converges very quickly to the Black Scholes price of 4.817.
Could there be a reason why the two converge at varying speeds or why the pi one converges to a wrong value for 4000 diff coordinates?
Surprisingly i used 4177 different values of the (x,y) coordinates since it failed to convergence for the first 100 as suggested by table 20.1 of Hull, 8th edition. I don't know what's wrong since I checked the excel formulas many times.
On the other hand the simulation I did to price the Option struck at 50 as in table 20.2 converges very quickly to the Black Scholes price of 4.817.
Could there be a reason why the two converge at varying speeds or why the pi one converges to a wrong value for 4000 diff coordinates?