By the way, you may want to try the Fractional FFT, which is a little more flexible and perhaps better suited to your needs. The FRFT is also coded in my book that Alan is referring to.

<t>That's just the way the math turns out. Look at the BS derivation and you will understand.Note that n(d1) is also the ITM probably at expiry, but under the measure that uses the stock price as the numeraire.N(d2) is the "usual" ITM probably at expiry, since that is under the measure that uses ris...

I'm trying to do Beliaeva and Nawalkha also, and I'm having trouble at the last step (combining the Y and V trees). I'm going to try a 2-dimensional lattice.

Hi,Does anyone know if there are typos in Table 3.14 for the time-averaged parameters? I found typos in Tables 3.13 and earlier.Thanks

Try www.Volopta.com I think the code is available there.

Yes, the tree by Beliaeva and Nawalkha, Journal of Derivatives, Summer 2010.

<t>QuoteOriginally posted by: andolomeda111. How could we estimate the parameters for the stochastic volatility in the Heston model? (like MLE?). 2. We have the sp500 (or ES) prices,and how could we calculate the instantaneous volatility values for the vol process?For (1) the usual procedure is to m...

Look at the paper by Bruce Barlett on SABR Greeks published in Wilmott. He proposes refinements to the Greeks that make them more accurate.

Pretty difficult to implement MLE for the processes you are talking about without programming, unfortunately. Try www.Volopta.com.

You want someone to send you a copy of the book? Ummm... I can't do that, sorry.Try www.Volopta.com someone has done what you are looking for in Matlab.

There are two approaches I know of (1) the method of Jackwerth and Rubinstein (2) the method of Breeden and Litzenberger that FrenchX is referring to.

<t>Hi,I am pricing American options using the Longstaff-Schwartz simulation algorithm described in their 2001 paper from the Review of Financial Studies. To test my code I am simulating stock prices using the usual Black-Scholes GBM and comparing my results to prices from a trinomial tree.I generate...

<t>What you are referring to was first observed by Fisher Black in the 1970s or 1980s. Whether that observation still holds in today's economic and financial climate remains to be seen. I'm sure that people have looked at this using recent data but I haven't come across any papers -- mind you, I hav...

Well, there are tons of books out there, but I would start by The Complete Guide to Option Pricing Formulas by the Collector, Espen Gaarder Haug.

For 9), the 90% 1Y call price is 102.15 while the 2Y price is 101.91, so the longer-dated option is slightly cheaper. That's an arbitrage opportunity (assuming the bid-ask spread and transaction cost won't eat it up).