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Table 4 Comparison of results obtained using PDE and Monte-Carlo methods for one default case (maturity=5, K=0.00909, 1 million simulation paths)

From: Credit contingent interest rate swap pricing

  PDE(ADI) PDE(ADI) Monte Carlo
  time steps 600 time steps 2000 99.9% confidence interval
Price $ 2,236.22 $ 2,235.02 $ [2173.94, 2235.24]
Time (seconds) 1.19 3.62 648