Asian Spread Options - Monte Carlo Simulation (Computation Time) PDF  | Print |  E-mail

Asian Spread Option on 2 Assets

- Computation Time (under PIII 600 MHz) Win XP

Number of Simulations
Computation Time
100
c. 0 seconds

500
1.16s
1,000
2.31s
5,000
12.73s
10,000
19.68s
50,000
n/a
100,000
n/a
500,000
n/a
1,000,000
n/a

- n/a usually denotes a run-time error or my machine is unable to process such a large number of iterations