Re:Julia vs. Python: Monte Carlo Simulations of Bitcoin Options
by sirsar on Saturday March 22, 2014 @10:25PM
(#7451844)
This bothered me as well. That's a 3.6% error, which is far from negligible. Was the main problem too few trials?
[ Parent
| on HN ]
Re:Julia vs. Python: Monte Carlo Simulations of Bitcoin Options
by rawrjustin on Saturday March 22, 2014 @11:35PM
(#7452000)
the problem seems to be too few trials. 10x the number of paths and the calculations for both languages converge on around 361ish