SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
mathdude2018
Topic Author
Posts: 12
Joined: January 10th, 2018, 4:35 pm

Code for closed form solution for max(S1-S2-K, 0)

February 11th, 2020, 9:28 am

For valuation of max(S1 - S2 - K, 0) when K is much larger than 0; I came across this paper (page 17-18):
http://www.cs.toronto.edu/pub/reports/na/ccc/ywchen-18-msc.pdf

I tried looking up Matlab or Python codes for this option valuation but I didn't find one. I don't want to recreate the wheel if already done so. Is anyone aware of such code?
 
User avatar
DavidJN
Posts: 1753
Joined: July 14th, 2002, 3:00 am

Re: Code for closed form solution for max(S1-S2-K, 0)

February 11th, 2020, 2:45 pm

 
User avatar
Cuchulainn
Posts: 62571
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Code for closed form solution for max(S1-S2-K, 0)

February 11th, 2020, 5:15 pm

Espen Haug's book (in VBA)
You can easily port analytical solutions to Python.

For PDE solutions there are libraries in C++. PDE in Python or Matlab is torture.

All pretty standard at this stage I reckon.

BTW is that a student project?
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl
 
User avatar
FaridMoussaoui
Posts: 507
Joined: June 20th, 2008, 10:05 am
Location: Genève, Genf, Ginevra, Geneva

Re: Code for closed form solution for max(S1-S2-K, 0)

February 11th, 2020, 7:51 pm

For PDE solutions there are libraries in C++. PDE in Python or Matlab is torture.
What are you saying Daniel, are you drunk? There is a toolbox in matlab called "Financial Instruments" where you have solvers for BSM, Heston, .... in MC or PDE.
There is also an ADI solver for 2D PDEs in "/opt/R2014a/toolbox/fininst/fininst/+internal/+fininst/adi2dcc.m", that's a Linux path but windows/macOSX are similar.
 
User avatar
Cuchulainn
Posts: 62571
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Code for closed form solution for max(S1-S2-K, 0)

February 11th, 2020, 8:34 pm

I don't use Matab, It's also too $$$ Python is just not the language for this.
It would be anathema, like Fine Gael forming a government with Sinn Fein.
Each to his own. Depends what you want.

I see Julia as much^2 better.

https://wilmott.com/automatic-for-the-greeks/
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl
 
User avatar
katastrofa
Posts: 9425
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

Re: Code for closed form solution for max(S1-S2-K, 0)

February 12th, 2020, 2:48 am

Someone recommended iPython to me when I complained that Python is not as convenient for data visualisation as Matlab. I've just started using it, but it looks cool. And there's also Octave.
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On