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Search found 19 matches

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by ShadowPierre
October 4th, 2004, 3:14 pm
Forum: General Forum
Topic: Model for illiquid market
Replies: 0
Views: 172948

Model for illiquid market

<t>Hi,I got a problem which I hope you will help me to solve. I would like to compute a price of option written fx-course CZK/EUR, unfortunatelly the market is thinly traded so I would like to use a model which is as much consistent with time series properties as possible. I have chosen Duans NGarch...
by ShadowPierre
March 17th, 2004, 8:05 am
Forum: General Forum
Topic: Garch estimation
Replies: 1
Views: 189612

Garch estimation

<t>HiI have a problem with fitting Ngarch to daily returns of CZ/ EU (but particulary it does not matter since I think this problem is not concerning only this financial time series).Firstly I adjusted return to have zero mean. Secondly I found out that autocorrelation of returns is negligible (Durb...
by ShadowPierre
March 17th, 2004, 8:05 am
Forum: Student Forum
Topic: Garch estimation
Replies: 0
Views: 189296

Garch estimation

<t>HiI have a problem with fitting Ngarch to daily returns of CZ/ EU (but particulary it does not matter since I think this problem is not concerning only this financial time series).Firstly I adjusted return to have zero mean. Secondly I found out that autocorrelation of returns is negligible (Durb...
by ShadowPierre
March 17th, 2004, 7:34 am
Forum: General Forum
Topic: Garch papers needed
Replies: 0
Views: 189389

Garch papers needed

<r>Hi,would anyone be so kind and send me Duan's article ?The GARCH Option Pricing Model?, 1995, Mathematical Finance 5(1), 13-32 and / or Duan's article ?An Analytical Approximation for the GARCH Option Pricing Model?, (with G. Gauthier and J.G.Simonato), 1999 (Summer), Journal of Computational Fin...
by ShadowPierre
March 17th, 2004, 7:32 am
Forum: Student Forum
Topic: Garch papers needed
Replies: 0
Views: 189222

Garch papers needed

<r>Hi,would anyone be so kind and send me Duan's article ?The GARCH Option Pricing Model?, 1995, Mathematical Finance 5(1), 13-32 and / or Duan's article ?An Analytical Approximation for the GARCH Option Pricing Model?, (with G. Gauthier and J.G.Simonato), 1999 (Summer), Journal of Computational Fin...
by ShadowPierre
January 15th, 2004, 12:32 pm
Forum: Technical Forum
Topic: Exotic options under different models
Replies: 0
Views: 189397

Exotic options under different models

<t>Hi,I am interested in pricing exotic options such as Lookback, Asian, Barrier etc. Is there any article which is concernig about comparisons of prices of exotic options under different models (e.g. Rubistein - Implied tree, Duan's - Ngarch, Bates- stochastic volatility with jumps etc.).I mean a c...
by ShadowPierre
January 15th, 2004, 12:30 pm
Forum: General Forum
Topic: Exotic options under different models
Replies: 2
Views: 189794

Exotic options under different models

<t> Hi,I am interested in pricing exotic options such as Lookback, Asian, Barrier etc. Is there any article which is concernig about comparisons of prices of exotic options under different models (e.g. Rubistein - Implied tree, Duan's - Ngarch, Bates- stochastic volatility with jumps etc.).I mean a ...
by ShadowPierre
January 6th, 2004, 2:44 pm
Forum: Student Forum
Topic: Exotic Options under different models
Replies: 1
Views: 189531

Exotic Options under different models

I mean comparison under suitable set of parametrs given by market and of course the enviroment with stochstic interest rates.
by ShadowPierre
January 6th, 2004, 2:40 pm
Forum: Student Forum
Topic: Exotic Options under different models
Replies: 1
Views: 189531

Exotic Options under different models

<t>Hi,I am interested in pricing exotic options such as Lookback, Asian, Barrier etc. Is there any article which is concernig about comparisons of prices of exotic options under different models (e.g. Rubistein - Implied tree, Duan's - Ngarch, Bates- stochastic volatility with jumps etc.). I was won...
by ShadowPierre
October 8th, 2003, 9:30 am
Forum: Student Forum
Topic: Edgeworth binomial versus trinomial trees
Replies: 0
Views: 189330

Edgeworth binomial versus trinomial trees

<t>HiI have found an intersting problem and I need help. I studied Rubinstein's edgeworth binomial trees and Rubinstein implied trees and everything worked fine. A tree converge to the value for American Call And Put option in the case of normal asumption of returns. I tried to use the same method t...
by ShadowPierre
September 22nd, 2003, 5:57 am
Forum: Programming and Software Forum
Topic: Fitting Johnson curves by moments
Replies: 8
Views: 193672

Fitting Johnson curves by moments

<r>Hi,I also interested in this algorithm, but I think that much better description of Johnson distribution is herewww.informs-cs.org/wsc97papers/0047.PDF I found a way how to fit unbouded Johnson distribution in excel with Solver. If you are interested in just email me <EMAIL email="p_lichnovsky@se...
by ShadowPierre
July 4th, 2003, 6:12 am
Forum: Numerical Methods Forum
Topic: Edgeworth tree
Replies: 5
Views: 193857

Edgeworth tree

Hi please can anyone help me?I have been looking for this article Hill, ID, Hill, R., and Holder, RL (1976). Fitting Johnson curves by moments really hard, but I was unable to find Is there anyone who can send it to me?
by ShadowPierre
June 9th, 2003, 8:12 am
Forum: Numerical Methods Forum
Topic: Edgeworth tree
Replies: 5
Views: 193857

Edgeworth tree

Please can you send me these articles?
by ShadowPierre
May 19th, 2003, 12:57 pm
Forum: Numerical Methods Forum
Topic: Edgeworth tree
Replies: 5
Views: 193857

Edgeworth tree

<t>It has been done for LookBack option and for Asian option with geometric average (not for aritmetic average) and with Motno Carlo applied on a Edgeworth tree I can evaluate these kind of option when skewness and kurtosis depart from normal. But it is not so important. I want to know if my idea is...
by ShadowPierre
May 19th, 2003, 8:43 am
Forum: Numerical Methods Forum
Topic: Edgeworth tree
Replies: 5
Views: 193857

Edgeworth tree

<t>Hi,I have come across an idea. I read a paper about Edgeworth binomial tree and there is a really interesing though, where edgeworth statistical series expansion is used on standartized normal distribution This solution should approximate higher moments like skewness and Kurtosis. But what about ...
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