<t>Hi everyone. JohnLeM, have been involved in lot of other works these last weeks, sorry my silence. I have actually also been implementing the weighted Monte Carlo (a prototype as you) and perhaps should we discuss the results? As a first observation I must say I am not very successful with the re...

<t>Hi there! I was actually wondering about the global computational efficiency of such a method (I am currently having a look at the original WMC). JohnLeM: 1 could you detail your experience about your "too sensible and time consuming"Statements on the method? 2 Did you already get any input out o...

Hi Eye51, which edition of the Hull please? Many thanks.

<t>QuoteOriginally posted by: daveangelthe standard technique is to subtract the pv of the divis up to the expiry of the option from the spot price and then use that adjusted price to evolve the tree. Then at each node, when checking for early exercise, add back the dividends from that node to the e...

<t>Hi all,I am trying out of this code, to get the feeling how the price components of an American option. If someone could answer my questions on some points that I don't get:For i = 1 To assetsteps - 1boundary(i) = NewF(i + 1) - NewF(i - 1) - 2 * dp / deltaNext iAllows marking the space grid point...

Hgeorgako, to you try to price your highly ITM option with both r=0 and b=0 and look at your PDE price vs BS's?

"Dirichlet condition at Smin and Smax" : how do you exactlly write the scheme on the boundary lines of your grid : v(i,j+1)(v(i,j),Smin,r,q,dt) and v(i,j+1)(v(i,j),Smax,r,q,dt)Cheers

<r>Hi,The scope here is basicly to set up options' price under a "cash div." diffusion model.I was told (by ref. to first order space derivative discontinuity and discussion with a physicist)that a nice way to get accurate computation was to try the fv method, instead of fdm. My aim by asking the fo...

Hello Farid and thank you for the input. "we can play with different CVs to improve themethod." : what are typically, the kind of improvements that are looked forward by running this kind of method? What is it particularly suited to?

<t>Thanks to other threads on the forum, I've made a program that calculates the price of a standard European option with a PDE. The stuff, however, is pricing the option on a discrete- dividend paying framework.I've been told that Volume Finite Mehtod, in some way, should be well suited for process...

Cuchulainn, thanks to your indications everything is ok now. Many thanks for your help! Best regards.

<t>Cuchulainn,Many thanks for your indication, this was the point! I now get perfect consitency for my implementation. Sorry for the (obviously) trivial matter; actually the implicit implementation i also hold has given fairly given better results in the nt=50 case than the explicit scheme but also ...

<t>Hi Cuchulainn,Looks like the pdf is very helpful, many thanks! "Not so nice" means: Fixing Xmin=0 and Xmax=100 Fixing strike=0, riskfree=0, sig=0.2 Fixing the maturity to 1year Setting the number of space discr. To 100 and the number of time steps to 50 The numerical outcome (explicit scheme) pro...

Hi Cuchulainn, many thanks for the input. I will by the way try to have a look at the teX editor overhere! Regards.

<t>Hello, no answer? To give more details perhaps, my request obviously adresses the practical implementation of the boundary conditions for a Call payoff at this stage, and the boundary of the space dimension. My grid ranges from S0=0 SoX_m; what's the recommendation, (seeking stability stakes) for...