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Old 09-23-2018, 08:01 PM
jusp's Avatar
jusp jusp is offline
Join Date: Jul 2014
Location: Jamaica
College: UWI Mona
Posts: 19
Default Section 5 Exercise 1

Notice the threads are practically dead..but asking nonetheless. I'm using seed 3 and I noticed that when I run 1000 or even 2000 scenarios with variance reduction..the price does not converge to Black Scholes goes further away from it. I know this is not supposed to happen. is anyone else experiencing this?

PS:It works correctly when i run 500 scenarios
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