Main category
Economics (General Management)
Abstract
The generated simulation must satisfy certain requirements. These properties fall into two categories. First, there are no arbitrage conditions, which are to be satisfied exactly. Second, there is a requirement to reproduce input calibration data as accurately as possible with selected types of analytical parameterizations of model parameters.
Further reading
https://ia904702.us.archive.org/7/items/monte-carlo-bgm/MonteCarloBgm.pdf
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