Hi Alan,thanks a lot for your comments. I haven't seen the contour move. I will also try the alternative procedure though.Regards,Mucki

<t>Hi,I have just derived an option pricing formula in the framework of Duffie/Pan/Singleton. I also need the delta, i.e. the first derivative with respect to the option price. Can I further simplify the formula attached to this tread. More precisely, I have seen Bakshi/Cao/Chen derive the delta of ...

<t>Thanks for your comments. I'm considering the Leland model: dV = (eta - delta) V dt + sigma V dW, where V is the asset process of a firmThe numéraire is (V / constant) ^ x, x = f(r, delta, sigma).Certainly, we cannot argue that there are a lot of options traded on the asset value of the firm (=! ...

<t>Hi there,I've got a quick question. I'm just reading a working paper in which the author changes from the risk neutral measure to a new measure with the numéraire "asset" being S^x. I'm not quite sure whether this is per se correct since S^x is certainly not a traded asset.Thanks in advance for y...

<t>Backwardinduction:In each state you calculate the expected value using the risk neutral probabilities and you discount using the short rate in that state. The procedure is the same in the nodes in which you change the branching technique. You simply have to ensure that you pick the right successo...

For the HW you need the current yield curve as input. You estimate the current yield curve out of swap rates.

<t>Hi, haven't checked the complete code. However, the state prices for period 2 - 4 (Q-Werte) look strange to me. Adding them all up should yield the prices of the zero coupon bonds for period 1 - 4 respectively. However, this isnt't so (I assume that the yield curve is given in the sheet "Marktdat...

Sorry this hasn't worked out the first time

Here's my excel sheet. The DLL file contains the code for the heston formula and must be copied into the same directory.

<t>Hi,I compraed the heston93_pdf to my algorithm: If rho = 0 it seems that my algorithm returns the same results, for rho different from 0 I obtain different prices. However, your worksheet seems to apply Gauss Legendre algorithm to compute the integral while I am using Gauss Laguerre (150 nodes). ...

<t>Hi there,I am currently reading Hagan's article on the SABR. However, I am having some trouble in implementing the dynnamic SABR since I am not completely sure about how I can calculate v_bar and eta_bar as well as how to deal with the epsilon in the formula for sigma_B after (B.58b - d). I would...

<t>Hi,what is happening in the vasicek /hw models is the following. You know that the returns of the zero bonds are normally distributed, i..e. the bond prices follow lognormal processes. Consider two bonds with prices B_1 and B_2:we havedB_i = r * B_i dt + sigma_i B_i dW(t), where sigma_i is a func...

Hi there,I am looking for a function/methodology for the numerical integration of functions with complex numbers in c / c++ (like for instance in the heston model).Can somebody point me towards a web site or an article?Thanks a lot in advance

Thanks a lot that really helps.

<t>Hi there,I have sereous problems in computing the non central chi square distribution in c. I would be very grateful if you could point me towards an internet site or other refrence where I can find some source code for a function which returns the cumulative probability when receiving the critic...