SERVING THE QUANTITATIVE FINANCE COMMUNITY

## Search found 844 matches

• 1
• 2
• 3
• 4
• 5
• 57
May 1st, 2016, 3:05 pm
Forum: Book And Research Paper Forum
Topic: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug
Replies: 211
Views: 164119

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

Cox & Rubinstein (1985, p178) give their own even better option pricing formula that needs just two applications of the binomial cumulative distribution function
March 22nd, 2016, 6:24 pm
Forum: Student Forum
Topic: Analytical solution for Heston Model
Replies: 2
Views: 1677

### Analytical solution for Heston Model

Just because you're a beginner shouldn't exempt you from doing a quick Google searchYou should start by reading articles such as thishttp://arxiv.org/pdf/1502.02963.pdf
March 18th, 2016, 9:44 am
Forum: Student Forum
Topic: Is Song Ping Zhu's formula exact/closed form?
Replies: 19
Views: 38619

### Is Song Ping Zhu's formula exact/closed form?

last I heard, it took hours and hours to calculate
February 28th, 2016, 8:15 pm
Forum: General Forum
Topic: Pronunciation of 'Black Scholes'
Replies: 39
Views: 4015

### Pronunciation of 'Black Scholes'

February 14th, 2016, 12:08 pm
Forum: Numerical Methods Forum
Topic: Heston - Reference Prices
Replies: 37
Views: 24238

### Heston - Reference Prices

The call prices look OK (the put ones just then follow by put-call parity)But even better if you now just adapt your Heston method to allow non-zero dividends and then see how many of the digits of the reference prices from Alan that you can match
January 27th, 2016, 1:03 pm
Forum: Programming and Software Forum
Topic: Office Web Apps - how fully featured is the Excel experience
Replies: 4
Views: 2935

### Office Web Apps - how fully featured is the Excel experience

Or you could post on the exceldna forumhttps://groups.google.com/forum/#!forum/exceldna
January 26th, 2016, 7:20 am
Forum: Numerical Methods Forum
Topic: American options -- Reference prices
Replies: 265
Views: 20733

### American options -- Reference prices

<t>We seem to have three cases nowS 100 S 100 S 100 K 100 K 100 K 100 r 0.20 r 0.10 r 0.02 q 0.01 q 0.01 q 0.01 Tyr 1.00 Tyr 1.00 Tyr 1 vol 0.01 vol 0.01 vol 0.01 nStep Tian Trunc Tian Extrap Tian Trunc Tian Extrap Tian Trunc Tian Extrap 512 0.00353560 0.01017334 0.01804628 0.02018684 0.16448443 0.1...
January 22nd, 2016, 9:14 am
Forum: Book And Research Paper Forum
Topic: Book on Stochastic Volatility Modeling by Lorenzo Bergomi
Replies: 5
Views: 5020

### Book on Stochastic Volatility Modeling by Lorenzo Bergomi

Just ordered it - will we have to wait another ten years before your next post?
January 7th, 2016, 11:24 am
Forum: Numerical Methods Forum
Topic: American options -- Reference prices
Replies: 265
Views: 20733

### American options -- Reference prices

Yep - you can also smooth the nodes at the penultimate stage by taking the BS value in order to improve the extrapolation but I don'tThe details are in the Joshi paper - I make the tolerance inversely related to the number of steps
January 7th, 2016, 7:50 am
Forum: Numerical Methods Forum
Topic: American options -- Reference prices
Replies: 265
Views: 20733

### American options -- Reference prices

I think you're being too pessimistic - since nearly all the extreme nodes contribute almost nothing to the option value, intelligent truncation seems fine - with increases in computation time linear or log linear at worst
January 6th, 2016, 8:56 pm
Forum: Numerical Methods Forum
Topic: American options -- Reference prices
Replies: 265
Views: 20733

### American options -- Reference prices

<t>For me, the most important feature of the truncated tree is the consistent halving of the differences in values as you continue doubling the number of steps - and I surmise that this pattern would be true of any untruncated trees (but forgive me for not volunteering to run the code up to 16m step...
January 6th, 2016, 8:20 pm
Forum: Numerical Methods Forum
Topic: American options -- Reference prices
Replies: 265
Views: 20733

### American options -- Reference prices

<t>Here are my Tian valuesnStep Tian tree Tol (=0.25/nStep) Tian + extrapolation =2*T(2*nStep)-T(nStep) 64 6.29099554 0.00390625 6.30023828128 6.29561691 0.00195313 6.29922581256 6.29742136 0.00097656 6.29979572512 6.29860854 0.00048828 6.299674231024 6.29914139 0.00024414 6.299539262048 6.29934033 ...
January 6th, 2016, 7:59 pm
Forum: Numerical Methods Forum
Topic: American options -- Reference prices
Replies: 265
Views: 20733

### American options -- Reference prices

I ran my code all the way up to 16,000,000 steps in less than 20 minutes using ExcelDna and VB.NET code - the truncation is brilliant and you can set the tolerance to minimise the truncation error
January 6th, 2016, 7:36 pm
Forum: Numerical Methods Forum
Topic: American options -- Reference prices
Replies: 265
Views: 20733

### American options -- Reference prices

OutrunThe 2006 paper is not worth chasing - last time I heard the "quasi-closed form" took at least a day to runIf you want to read something, the Joshi paper on truncation and acceleration is much more valuableMike
January 4th, 2016, 2:21 pm
Forum: Numerical Methods Forum
Topic: American options -- Reference prices
Replies: 265
Views: 20733

### American options -- Reference prices

Alan is correct, here's the referencehttp://fbe.unimelb.edu.au/__data/assets/pdf_file/0007/806362/212.pdf
• 1
• 2
• 3
• 4
• 5
• 57

GZIP: On