16.8 Historical simulation continued Suppose we use m days of historical data Let vi be the value of a variable on day i There are m-1 simulation trials The ith trial assumes that the value of the market variable tomorrow (i.e, on day m+1)is Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 16.8 Historical Simulation continued • Suppose we use m days of historical data • Let vi be the value of a variable on day i • There are m-1 simulation trials • The ith trial assumes that the value of the market variable tomorrow (i.e., on day m+1) is i−1 i m v v v