<t>alan, assume my model is C(t) = E[df * C(T)] where df = int_t0_T r(s) ds. Also assume the stock pays a single cash dividend at t(ex) < T. Generally one would subtract the present value of all dividends (from the yield curve observable today) and then grow this stock to expiry, thereby giving us t...

come on guys, someone.....please

<t>Hi, can someone please explain how to implement Monte Carlo for a stock option with cash dividends using stochastic rates (both vasicek and CIR). My confusion is whether we need to compute bond prices for each dividend date such that the growth of dividends can be determined.Can someone please im...

Tried uploading the equation but didn't work .. here is the equation ... I need to get from equation 8.4 to 8.5 with all the mathematicalsteps expanded.

Hi,I'm new to Quantitative Finance and while reading Wilmott's book,I came across equations 8.4 and 8.5 as given in the attached imagefile. Can somebody please tell me on how this transformation wasachieved (with all the mathematical steps involved).Thanks.

<t>Hi quantie,Many many thanks for the spreadsheet - I really appreciate it. What I am really trying to achieve is importrance sampling for 5 stocks - so a multivariate importance sampling. would you have an example to show me how to do this.additionally, have you had any experience with truncated m...

quantie,all you have done is re-arrange my code. I want to know WHY this technique is not giving me the right price.Anyone - HELP

<t>hello, i am trying to price an out of money call option with S=100 and strike = 110. assume rates and dividends are 0. problem is that it does not return the correct price. what am i doing wrongSub o() Dim i As Long Dim S As Double S = 100 Dim v As Double v = 0.25 Dim T As Double T = 1 Dim K As D...

does anyone have the answers to these questions?

yes but u cannot trade vega in the underlying market....

<t>quadrature, thx.assume u r given the market skew today. if the index falls (rises) a few %age points, what would you expect the atm vol to do - what does the skew tell you the atm should be?or do traders take the atm vol as it comes? surely not - they must have some way of predicting what the atm...

<t>It is about predicting atm vol when the index changes (say spx or ftse). As you can tell that the vol almost never changes by the amount implied by the skew e.g.3m 90% vol = 25%, 100% vol = 20%, 110% vol = 17%now if the index drops by 5%, the new atm vol should be 22.5%. But you will see that it ...

simply write a C++ routine that reads the correl matrix from a text file and do the math yourself.

courseux,r u talking about basket trading in the domain of index arb or correlation trading with baskets?

<t>guys it may seem like a good idea now to engage in put backspreads on the spx, given it's low IV now.....something is bound to happen sooner than later......my question is that a trader can initiate this trade as a strategy BUT how should one lean one's overall book.would u go long downside gamma...