<t>My department supports advanced mid-office Excel users pricing optionality embedded in contracts. Historically, options are priced using internally built Xll with a library of dozen well-known formulas. Passing parameters into custom Excel formula like ?=Black_Scholes(price, strike,?) or ?=Black_...

<t>E[LogNormal(mu, sigma)] = exp(mu+0.5*sigma^2)Is there a closed form solution for the mean of LogNormal(mu, sigma) > a where a is a constant?In other words, is there a closed form solution for the mean of lognormal distribution above certain point? As an example, what is the value for stock price ...

I am looking for a Java numerical library that has GARCH implemented. Any links anyone?Thank you,Farhad

<t>Could you please clarify whether Greeks are asset specific? Now, suppose that I model the underlying process with Monte Carlo GBM process. Then a delta for a European call option expiring in a year at the money is 0.5 for the GBM process. If my underlying process uses strong Mean Reversion proces...