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bearish
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

August 10th, 2019, 1:46 am

Umm, at least according to Canada, cocaine is a derivative (or possibly a preparation, alkaloid or salt):

Coca leaf is listed as a Schedule I drug (most dangerous) according to the Controlled Drugs and Substances Act of Canada (S.C. 1996, c. 19) alongside Opium (Heroin) and synthetic opioid analgesics. Specifically, it lists Coca (Erythroxylon), its preparations, derivatives, alkaloids, and salts, including:(1) Coca leaves (2) Cocaine and (3) Ecgonine. Possession of a Schedule I substance is illegal and trafficking can result in punishment of up to life imprisonment.[72]
 
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katastrofa
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

August 10th, 2019, 10:02 am

Touché!
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ExSan
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

August 10th, 2019, 5:57 pm

It's about trading derivatives, not cocaine.
Do you mean it because I am latino americano? 
 
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katastrofa
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

August 10th, 2019, 6:01 pm

It's about trading derivatives, not cocaine.
Do you mean it because I am latino americano? 
No, because you're annoying.
 
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ExSan
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

August 10th, 2019, 6:06 pm

It's about trading derivatives, not cocaine.
What a  nice polish - woman! 
 
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ExSan
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

August 10th, 2019, 6:07 pm

It's about trading derivatives, not cocaine.
Do you mean it because I am latino americano? 
No, because you're annoying.
What you mean annoying, is that your book? 
 
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ExSan
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

August 10th, 2019, 6:13 pm


Do you mean it because I am latino americano? 
No, because you're annoying.
What you mean annoying, is that your book? 
I have not make a single post in ages, It seems you were waiting for me to give me a good welcome back!? 
OK. It is all yours. 
Have a nice week and wish you the best for the rest of the year. 
 
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Cuchulainn
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

June 17th, 2020, 4:47 pm

QUESTION (urgent)

page 213, spread options payoff  = max(X - a1*S1 + a2*S2, 0)

when I input a1 = a2 = 0.5, it (Excel) makes them a1 = a2 = 1.0

Is this a law of gravity? ("thou shalt not use fractional stocks")

Integral values are fine.

tusen takk.
 
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Collector
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

June 20th, 2020, 9:32 am

urgent? for campus academic = 12months++
urgent for BSD trader = yesterday

did first see this now. Not exactly sure what u mean, I tried with an example now that Q1=Q2=0.5 and it worked (just looking at exercise value), Excel clearly used Q1=Q2=0,5. keep in mind often one need to adjust strike as well (to make example still make sense), this is manually.
 
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Cuchulainn
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

June 20th, 2020, 11:28 am

My own internal clock, in between trade and academic  :-) I am a mathematician and not looking to the stars. Maths is timeless.
I am comparing results with a co-author. We are comparing 6 schemes for general 2-factor PDEs, in the initial tests are for 2-assets in your book ("Another Day another option"). That's the first hurdle.
I'll run your VBA again and get back. Watch this space.

//
BTW is payoff = max (K - Q1*S1 - Q2*S2,0) valid?  You use payoff = max (K - (Q1*S1 - Q2*S2),0)
 
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Cuchulainn
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

June 20th, 2020, 12:36 pm

here's the problem as well as I'm unable to give Q1 = 0.5. It ceilings it to Q1 =1. If you give Q1  = 0.49 ==> Q1 = 0
Q2 = 0.5 works fine.

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Collector
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

June 20th, 2020, 10:38 pm

 Do I get different value than u?
Screen Shot 2020-06-21 at 12.42.25 AM.png
Screen Shot 2020-06-21 at 12.34.42 AM.png
 
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Cuchulainn
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

June 22nd, 2020, 7:54 pm

Do I get different value than u?
Yes and no. It's a long answer with several strange and nasty twists.

Let's call the 2 bespoke cases Exhibit 1 and 2, respectively. I have 4 solutions

A. Soviet Yanenko
B. Soviet PC
C. Kirk's eqs. 5.17, 5.18 in  your book done in C++
D. Excel input

Let's a put for Exhibit 2. The methods A, B and C give P = 2.00385 (D gives 5.2393 indeed) 
// For call we get 2.50285 (A,B, C) while D gives 1.1783.

So, something funny with D,,,
Remark: I'll talk about Exhibit 1 tomorrow.
 
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Cuchulainn
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

June 22nd, 2020, 8:03 pm

Remark: I'll talk about Exhibit 1 tomorrow.

Exhibit 1 i.e. Q1 = Q2 = 0.5 I get the (wrong) P = 8.6562 (it should be 8.56106),

Now the 'nasty'; when I type Q1 = 0.5 Excel displays it as Q1 = 1 but internally I still get the same 'correct wrong answer' viz. 8.6562. Imagine that on the dash panel of a 787..
Last edited by Cuchulainn on June 22nd, 2020, 8:21 pm, edited 1 time in total.
 
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Cuchulainn
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

June 22nd, 2020, 8:18 pm

Exhibit 3 Q1 = Q2 = 1

Type   Excel  Others
////////////////////////////////
P 13.0830 9.15872
C 0.0319 0.597435

Bit off.
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