[R-SIG-Finance] Option valuation for arbitrary distribution using monte carlo simulation

[Joachim Breit]

Thank you for the interesting link.

I agree that you can use a (fit of a) stable distribution for sampling 
purposes. But please: Why not simply use the raw data and sample from 
that? What could be a better starting point? Again, it is clear that you 
cannot use the raw return series as it comes off your data feed; there 
is a need for adjusting. But there cannot be a better fit to the raw 
data than the raw data itself...

Am 24.11.2011 14:04, schrieb msalese:
> Hi guys, I think that you can use what distribution you want.
> Stable is one of that better fits the log returns (it's my opinion!)
> But you can have more info giving a look at
> http://www.mathestate.com/tools/Financial/map/Overview.html).
> If you prefer you can price with GARCH to better reproduce the smile effect.
> I'm a buyer side trader (risk taker), I price options only to create future
> scenarios and on that scenarios I plan the reaction.
>