Hi festivie,can u please send the state of the art for pricing barrier options using differnce method?thanksmy e-mail adress is : mohamed.rhmaritlemcani@epfl.ch

hi everybody,i'am also looking for the state of art for pricing barrier optionsi've already priced them using a closed form but my model is not that strong i'am not looking for a very sophisticated model...

Hi,do u know how can i generate 3 independant brownian motions(BM) using Excel??i know how to use it for 2 BM(i use the function =NORMSINV(RAND()) ) but not for more...i think we have to use Bow Mullet Algorithm,but i don't see howthanks for your help...

hi guys,does anybody has a spreadsheet excel for pricing a vanilla option using monte carlo with the VBA codethanks for your help,

hi guys,does anybody has a spreadsheet excel for pricing a vanilla option using monte carlo with the VBA codethanks for your help,

hi guys,does anybody has a spreadsheet excel for pricing a vanilla option using monte carlo with the VBA codethanks for your help,

Hi does anybody know please how can we generate 3 independant brownian motions using Excel??Thanks for your help

<r>hii have a problem concerning the correlation matrixi need to find an algorithm which approximate or transform the non positive definite correlation matrix into a positive definite one,so i can apply cholesky decomposition.i need cholesky to price a basket optiondo u have a VBA code for this?it w...

Hi Antonioi saw that you have a VB Code to price a Basket Optioncan you please send it to me (with the excel spreadsheet if it's possible) to this adress : mohamed.rhmaritlemcani@epfl.chThank you very much for your help

<t>Hii'am trying to price an option basket using monte carlohere is my problem,you can probably help me :i have to generate a brownian motion (BM) M"= L*M where M is a standard BM and L is the cholesky decomposition of let's say A the correlation Matrixto compute the Cholesky decomposition of A ,A h...

<r>hi i'am also trying to price a basket optioni see that antonio has sent the VBA Code for Cholesky Decompositioni took it but unfortunatelly,i don't know how to use it in Excel,i mean how do i enter my matrix A on Excel and how to obtain the L matrix wich is the cholesky decomposition of A.Can you...

<r>hi i'am also trying to price a basket optioni see that antonio has sent the VBA Code for Cholesky Decompositioni took it but unfortunatelly,i don't know how to use it in Excel,i mean how do i enter my matrix A on Excel and how to obtain the L matrix wich is the cholesky decomposition of A.Can you...

<r>hi i'am also trying to price a basket optioni see that antonio has sent the VBA Code for Cholesky Decompositioni took it but unfortunatelly,i don't know how to use it in Excel,i mean how do i enter my matrix A on Excel and how to obtain the L matrix wich is the cholesky decomposition of A.Can you...

<r>hi i'am also trying to price a basket optioni see that antonio has sent the VBA Code for Cholesky Decompositioni took it but unfortunatelly,i don't know how to use it in Excel,i mean how do i enter my matrix A on Excel and how to obtain the L matrix wich is the cholesky decomposition of A.Can you...

<t>hi quantie thanks for your messagethe barrier is observed daily.i know that i have to generate 3 correlated brownian motions but how?and how can i apply the barrier condition?can you please give me a link so i can find what i'am looking for`?do u know if somebody has the code IN VBA Excel to pric...