SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 70 matches

by MaxwellSheffield
July 3rd, 2018, 1:29 pm
Forum: Technical Forum
Topic: How would you price American options?
Replies: 23
Views: 1775

Re: How would you price American options?

The question is - would they want to. I would rather have someone who reads my post , and just ignores it because he/she believes I am an ass*****, than having this guy polluting my post and others without exposing him.  I agree. Many of my posts have been ruined by those telling me what I should a...
by MaxwellSheffield
July 3rd, 2018, 1:26 pm
Forum: Technical Forum
Topic: How would you price American options?
Replies: 23
Views: 1775

Re: How would you price American options?

@frolloos It is true that I am aggressive in my answers to that person only , the reasons is that it is not his first attempt, take a look at his other answers, and how condescending he is. In this forum, we can see very good quality posts from guys who never behave like him.  Is he acting that way...
by MaxwellSheffield
July 2nd, 2018, 4:35 pm
Forum: Technical Forum
Topic: How would you price American options?
Replies: 23
Views: 1775

Re: How would you price American options?

hopefully other forum members can.
The question is - would they want to.
I would rather have someone who reads my post , and just ignores it because he/she believes I am an ass*****, than having this guy polluting my post and others without exposing him. 
by MaxwellSheffield
July 2nd, 2018, 1:57 pm
Forum: Technical Forum
Topic: How would you price American options?
Replies: 23
Views: 1775

Re: How would you price American options?

@frolloos It is true that I am aggressive in my answers to that person only , the reasons is that it is not his first attempt, take a look at his other answers, and how condescending he is. In this forum, we can see very good quality posts from guys who never behave like him.  Is he acting that way ...
by MaxwellSheffield
June 29th, 2018, 7:40 pm
Forum: Technical Forum
Topic: How would you price American options?
Replies: 23
Views: 1775

Re: How would you price American options?

you are seriously calling your posts answers?
I see, you're clever enough to judge people you've never met. But not enough to understand your business since you're asking elementary questions.
Elementary questions?!? haha, I am clever enough to recognize a fraud . Now cut if off and move away.
by MaxwellSheffield
June 27th, 2018, 11:30 am
Forum: Technical Forum
Topic: How would you price American options?
Replies: 23
Views: 1775

Re: How would you price American options?

As far as I know models should be calibrated. Well you obviously know nothing but you act like you know everything... It is not the first time, please move. Why are you asking questions, when you don't want to hear any answers? you are seriously calling your posts answers? You drop 3 words showing ...
by MaxwellSheffield
June 26th, 2018, 1:34 pm
Forum: Technical Forum
Topic: How would you price American options?
Replies: 23
Views: 1775

Re: How would you price American options?

Do you mean that the presence of FVA etc should have an impact on the optimal exercise? Well Andrew Green has a paper on that on Risk, but I tend to believe that typically the optimal exercise is treated separately w.r.t. all xVAs like in the old single curve world... At least, this seems to me a p...
by MaxwellSheffield
June 26th, 2018, 1:23 pm
Forum: Technical Forum
Topic: How would you price American options?
Replies: 23
Views: 1775

Re: How would you price American options?

What is European ? Option are american 
As far as I know models should be calibrated.
Well you obviously know nothing but you act like you know everything... It is not the first time, please move.
by MaxwellSheffield
June 13th, 2018, 1:19 pm
Forum: Technical Forum
Topic: How would you price American options?
Replies: 23
Views: 1775

Re: How would you price American options?

How about funding? 

What is European ? Option are american 
by MaxwellSheffield
June 13th, 2018, 12:22 pm
Forum: Technical Forum
Topic: How would you price American options?
Replies: 23
Views: 1775

How would you price American options?

Hello,  This is an open question : How would you price an american option on future consistently with the smile ?  For example, when it comes to pricing Eurodollar option, we often see the black formula used in an awkward way :  - There is no margin process for the option, an american option should ...
by MaxwellSheffield
May 8th, 2018, 7:37 pm
Forum: Technical Forum
Topic: Quadratic local volatility model
Replies: 15
Views: 932

Re: Quadratic local volatility model

"pretty" is subjective. Thank you for your contribution
by MaxwellSheffield
May 8th, 2018, 7:02 pm
Forum: Technical Forum
Topic: Quadratic local volatility model
Replies: 15
Views: 932

Re: Quadratic local volatility model

not convinced.
by MaxwellSheffield
May 8th, 2018, 5:42 pm
Forum: Technical Forum
Topic: Quadratic local volatility model
Replies: 15
Views: 932

Re: Quadratic local volatility model

Now, we are talking about model XYZ vs SABR (not my question ).  How do I price European options in this paper ?   After calibrating the model using the particle algorithm, we have computed rolling-tenor swaption smile using a (quasi) Monte Carlo pricer with N = 2^15 paths and a timestep ∆t = 1/250 ...
by MaxwellSheffield
May 8th, 2018, 4:07 pm
Forum: Technical Forum
Topic: Quadratic local volatility model
Replies: 15
Views: 932

Re: Quadratic local volatility model

@Alan Exactly. @Gamal, this is a Cheyette model with local vol function, that is too huge for European option pricing, and very slow. This model can be good for pricing more complex product.  My point is that I always hear the same stories in the rate world. SABR has stochastic volatility , hence be...
GZIP: On