<t>Hi all,A question about data modeling for portfolio management (using mysql): Structuring the table of instruments.1. Create a big table including all instrument information (common information to all types of instruments as name, date, issuer? also specific information as equity, bond, option pa...

Thank you very much you all, particulary Alan for you help. Now everything is clear.

<r>Here is the home page of Mark Broadie where you can find his publication : <URL url="http://www.columbia.edu/~mnb2/broadie/research_papers.htmlAnd"><LINK_TEXT text="http://www.columbia.edu/~mnb2/broadie/r ... rs.htmlAnd">http://www.columbia.edu/~mnb2/broadie/research_papers.htmlAnd</LINK_TEXT></U...

<t>Yes this is a Geometric Average basket option on 5 underlying stocks and number of opportunities is the number of exercise dates. In fact, I used the reduced dimension problem to validate my Monte Carlo pricing algorithm implementation. I runs the pricing for the option on 5 stocks and then get t...

<r>Hello,I have a question about the Geometric Average (GA) American call basket option. As you know, in this case, we can reduce the basket of assets to one-dimension ``reduced'' asset under Black Scholes model and therefore the option can be computed as a single call American.Let consider a popula...

<r>Hi all, For someone who might be interested in this contest, you can download the technical paper on our website (just updated it).<URL url="http://www-sop.inria.fr/oasis/plugtests2008/ProActiveMonteCarloPricingContest.html"><LINK_TEXT text="http://www-sop.inria.fr/oasis/plugtests ... ntest.html"...

<t>Hi all,I have a question about the Greek hedging relation between an European Geometric Average (EGA) option of d assets and its reduced dimension option. In my previous posts, we can see instead of pricing an EGA option we can compute its corespondence 1-dimensional option by the Black-Scholes f...

Thanks Alan for your reply,I tried to derivate this by using the multi-dimensional Ito lemma. I posted here the result

<t>Hi all,I have a newbie question. As all of you know, the geometric average option on d assets can be reduced to one dimensional problem, and I try to prove it in general. Hereby, I post only a part of the problem then following my solution below. The question is : is my solution true ?Thank you v...

How can I know what among the 3 following Lattice grids has the best quality ? they have all same parameterthank you very muchViet-Dung

sorry, you are right , i get the wrong output display. I did in java the result is not exact with Matlab but acceptable.

Do you verify if your matrix of covariant and the decomposition Cholesky are correct ?for example with the correlation between 3 assets is 0.5 , the triangular matrix L is1.0 0.0 0.00.5 1.0 0.00.5 0.5 0.866

<t>Hi both,both of you talk about the Sobol sequence, and I have a question :I use the following thing to create 128 Good Lattice Points, for me the Good Lattice Point theory (GLP) is something very equivocal. They are the random number N(0,1)for (i = 1 : J)for( j = 1 : M - 1)lattice(i,j)= mod(((i -...

<t>Yes, it's exact what I did and at the end I do a average of SQuoteOriginally posted by: outrunYou need lots of stuff in C++This is how you simulate a single asset starting at S_0 an moving to a random value at S_t. You can repeat this multiple times to simulate a path in time of that asset.S_t = ...

Hi eveyone , Is there any suggestion ?