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If your building a trading system to "key" on volatility it would depend
on what you are looking to identify. If you calculate an implied off a
particular series and compare it to some other series.....as long as the
same points in time are used......I WOULD assume the condition could
wash out.
If you were looking at different points in time or a time series I would
assume it would have a problem.
As to the cost of a montecarlo simulator I was given one by my friends
at Northwestern...it's excel based and didn't taken a lot of money to
develop. I'm not a computer whiz(I generally figure myself lucky if I
can get online while traveling)but I assume that by how common they are
they must be easy to develop using excel.
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