Jin, sorry I couldn't come, but I found your hotmail adress in the forum. If you cannot access it for any reason leave me a message and i will send you again

<t>QuoteOriginally posted by: CollectorIn any finite difference implementation the current asset price is typically different from the grid points??, in that case what is the best way to account for this. From some code Paul developed I think he interpolate based on nearest grid point (works very we...

I’ll give you the code in Tuesday in class. You will see it’s very simple (and childish) solution, but it is working. These parts are separately tested. Something else went wrong, and I cannot understand why because it’s a slight modification of IFD which works without any problems.

<t>Jin, I want to ask u somethingIFD code works perfectly now. But the one with change of variable has a problem, and I can't find a mistake. So, my question is if a, b, c are not dependent on j any more, we can still solve it in the same way (a, b, c, are now "constants" (formulas from Brennan and ...

Go to the next class and ask Wojakowski, he practicly did for us it in the class one month ago! Since, he didn't give notes, maybe he will explain you one more time. It's worth trying.

Paris, how much do you pay for the code?

I would also really appreciate if you could post it to the forum!!!Thanks

<t>QuoteOriginally posted by: clement14Three asset spread options(dual spread options) payoff isCall=max{0,(S1-S2)-X,(S3-S2)-X}Why not have {(S3-S1)-X}?Could you tell me why? Thank you.If you simply have c = max {0,(s1-s3)-x} it would not be a dual spread it would be an ordinary spread option. The s...

<t>Aaron gave you a very good answer. You should choose something you like and you will enjoy working. Still, I understand that you do not know where to begin as financial markets are concerned. Try pricing of spread options. I found it interesting when I was working on it. Actually, what I liked ab...

I tryed that one... It is on every second web page.. It has some problems in the code, very often the price is out of the boundariesThanks for help

<t>I am not exactly sure what do you need, but try Garman and Kohlhagen ('83) and Grabbe ('83). They use interest rate as the effect of dividend or opportunity cost of stock ownership. They adjust BS to yield the value of the call from the domestic currency (rate r) into foreign currency (r*) at a s...

<t>I am trying to implement MC for American-Asian options based on the algorithm proposed by Grant, Vora, and Weeks (97). Even though I managed to implement it Excel, I have problems with writing VBA code . Does anyone know where I can find ready codes for American or Asian MC? Thank you in advance ...