Hi Jonathan81,How you got the last equation for the Default Leg?Thanks,Jack

it is Merrill Lynch,ThanksJack

Hi All,Does anyone have the paper "Dynamic protection, Constant Proportion Portfolio Insurance : How It Works"if someone could share this with me, it will be a great helpThanks very much,Jack

Hi all,I am trying to implement the method proposed by L-S.Just one question, if I use the Laguerre polynomials as basis function, should I normalize the simulated price and payoff by the spot price S_0?and why?thanks

thanks very much, I also found this example and it seems proved by Merton, but I couldnot find his paper "The theory of rational option pricing"also, could it be possible for a put option?thanks,

hi all,could anyone share Merton's paper "The theory of rational option pricing" with me?thanks,

hi all,could anybody give me some examples when an american option has the same price with a european option, giving the same characteristcs?thanks,

<t>hi all,my first post here, hope you could give me some help, thanks.we all know it is important to evaluate volatility and correlation while pricing spread option, so what is the common method to calibrate the correlation between different rate curves (eg, CMS/CMT, CMS10Y/CMS2Y), and between thei...