Theory and Modern Applications
Table 1 Comparison between Monte-Carlo simulation result and the closed-form formula. Note that \(C_{\text{MC}}\) implies the Monte-Carlo results based on the stochastic dynamics presented in (7)–(10)
From: Closed-form pricing formula for foreign equity option with credit risk
Number of simulations | \(C_{\text{MC}}\) | C | \(|C_{\text{MC}}-C|\) |
|---|---|---|---|
5000 | 1.6934 | 1.6721 | 0.0213 |
10,000 | 1.6764 | 1.6721 | 0.0043 |
15,000 | 1.6725 | 1.6721 | 0.0004 |
20,000 | 1.6718 | 1.6721 | 0.0003 |
25,000 | 1.6725 | 1.6721 | 0.0004 |
30,000 | 1.6720 | 1.6721 | 0.0001 |