Serving the Quantitative Finance Community

Search found 33 matches

by MAYbe
April 9th, 2017, 10:40 pm
Forum: Numerical Methods Forum
Topic: Understanding what is being solved for? (Python -code)
Replies: 0
Views: 4339

Understanding what is being solved for? (Python -code)

So i got a python code from a friend that solves for equation (23) and (29) from  Bunch and Johnson (2000) [attached], From the paper we have equation (22):   $${\textstyle{{{S_c}} \over X}} = {e^{ - (r + (1/2){\sigma ^2})\tau  - g\sigma \sqrt \tau  }}$$ where (23):  $$g =  \pm \sqrt {2\log {{{\sigm...
by MAYbe
April 8th, 2017, 4:33 pm
Forum: Student Forum
Topic: Help for American put value and Sc
Replies: 5
Views: 1332

Re: Help for American put value and Sc

any help on what i should set t to ? it should be 0, but obviously that does not work for d2
by MAYbe
April 6th, 2017, 9:17 am
Forum: Student Forum
Topic: Help for American put value and Sc
Replies: 5
Views: 1332

Re: Help for American put value and Sc

I think I see. What you want to do is replicate the authors' values in Table II -- is that  correct? I think the problem is not the coding, but figuring out exactly what formulas the authors are using. Good luck!
Possibly, or both, but mainly the coding
by MAYbe
April 5th, 2017, 4:26 pm
Forum: Student Forum
Topic: Help for American put value and Sc
Replies: 5
Views: 1332

Re: Simulation help for American put value and Sc

Thanks for posting the paper. But, frankly, "simulating eqns (29) and (23)" doesn't make much sense to me. The paper contains various approximations to the critical exercise boundary. If you want to compute the error of the approximations, then you need careful numerics for the exact boun...
by MAYbe
April 5th, 2017, 3:47 pm
Forum: Student Forum
Topic: Help for American put value and Sc
Replies: 5
Views: 1332

Help for American put value and Sc

Im writing my thesis and would like to use B-J (2000) equation 29 and 23, to value Apo, but searching the web i was unable to find any matlab/mathematica/python/c++/maple script for this, despite the fact that their paper appears on pretty much every American put option simulation study . Does any o...
by MAYbe
April 5th, 2017, 3:38 pm
Forum: Student Forum
Topic: First passage probability in american put option pricing
Replies: 4
Views: 1337

Re: First passage probability in american put option pricing

Maybe: maybe you are thinking $S_c$ is a number?  It is a curve. From that paper, "The maximization is taken over all possible functions $S_c(\tau)$, where $\tau \equiv T-t$."  For the limit Alan is testing, the curve $S_c(\tau)$ is approximately zero for $\tau > 0$ but goes to the strike...
by MAYbe
April 3rd, 2017, 9:18 pm
Forum: Student Forum
Topic: First passage probability in american put option pricing
Replies: 4
Views: 1337

Re: First passage probability in american put option pricing

this is how it is presented in the article,
by MAYbe
April 2nd, 2017, 6:55 pm
Forum: Student Forum
Topic: First passage probability in american put option pricing
Replies: 4
Views: 1337

First passage probability in american put option pricing

In an article i recently read (The American Put Option and Its Critical Stock Price by David S. Bunch and Herb Johnson) the authors presented this formula as something very general and as common knowledge $$P = \mathop {\max }\limits_{{S_c}} \int\limits_0^T {{e^{ - rt}}(X - S_c)} fdt,\quad (S > {S_C...
by MAYbe
January 29th, 2017, 12:46 pm
Forum: Student Forum
Topic: Terminal Condition for American Put Option
Replies: 39
Views: 4510

Re: Terminal Condition for American Put Option

Im sort of confused did someone answer my question?
by MAYbe
January 27th, 2017, 2:05 am
Forum: Student Forum
Topic: Terminal Condition for American Put Option
Replies: 39
Views: 4510

Re: Terminal Condition for American Put Option

I could be wrong but I did not find definition of what is American option price in  Merton 1973 paper. From definition of the contract it follows that we know only the value of G ( S , 0 , E ) . What does it mean G ( S , [$]\tau[$] , E ) is unknown. I will appreciate if somebody correct me. I read ...
by MAYbe
January 26th, 2017, 10:56 am
Forum: Student Forum
Topic: Terminal Condition for American Put Option
Replies: 39
Views: 4510

Re: Terminal Condition for American Put Option

They don't have a paper on finance? I wish we could see more of p432!
Here you go    http://sv.tinypic.com/r/2cqgnie/9
by MAYbe
January 25th, 2017, 4:28 pm
Forum: Student Forum
Topic: Terminal Condition for American Put Option
Replies: 39
Views: 4510

Re: Terminal Condition for American Put Option

The book is " Homotopy Analysis Method
in Nonlinear Differential
Equations" p. 432
by MAYbe
January 25th, 2017, 9:27 am
Forum: Student Forum
Topic: Terminal Condition for American Put Option
Replies: 39
Views: 4510

Re: Terminal Condition for American Put Option

thats how the author defines it, not me.
Otherwise this means that an out of the money option becomes worthless at expiration?
by MAYbe
January 22nd, 2017, 7:33 pm
Forum: Student Forum
Topic: Terminal Condition for American Put Option
Replies: 39
Views: 4510

Terminal Condition for American Put Option

In a recent book i read the author mentioned the terminal condition   $$\mathop {\lim }\limits_{t \to T} V(S,t) = \max \left\{ {X - S,0} \right\}$$  This is intuitive to understand , then $$\tau  \equiv T - t$$  when r>0, the terminal condition above can be simplified to $$\mathop {\lim }\limits_{\t...
by MAYbe
January 21st, 2017, 11:51 pm
Forum: Student Forum
Topic: Q:American Put Option and Critical stock price
Replies: 2
Views: 8971

Q:American Put Option and Critical stock price

I am writing my thesis now and i was wondering if anyone knows or if there is a code for Equation (23) and Equation (29) in

"The American Put Option and Its Critical Stock Price" by David S. Bunch and Herb Johnson  ?