<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...

<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...

<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...

<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...

<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...

<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...

<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 ...

I mean comparison under suitable set of parametrs given by market and of course the enviroment with stochstic interest rates.

<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...

<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...

<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...

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?

Please can you send me these articles?

<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...

<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 ...