QuoteOriginally posted by: outrunThe exchange option is 2D and has exact analytical solutions (Margrabe), it can be a simple test-case. I can generate a table for that. It's probably best if I add the exchange option to the BMLib functions, and also add a ubnit test. You might also be able to find benchmark numbers as external references. I'll look for that in my Haug book.Done 3 test models (exchange, product, quotients) exact after some blood, sweat and tears...Don't have the time to do the other 57 formulae, hence my post. I think it's time for a C++ book on exact formulae; any takers?
Last edited by Cuchulainn
on February 5th, 2012, 11:00 pm, edited 1 time in total.