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by me2008
April 9th, 2008, 11:01 pm
Forum: Student Forum
Topic: European Exchange Option
Replies: 2
Views: 55905

European Exchange Option

how can I produce graphs for different times to expiry
by me2008
April 9th, 2008, 12:31 pm
Forum: Student Forum
Topic: European Exchange Option
Replies: 2
Views: 55905

European Exchange Option

<t>i'm trying plot the exact solution with different times to expiry. my matlab script is as follows. sigma = sqrt(sigma1^2-2*rho*sigma1*sigma2+sigma2^2); d1 =(log(X./Y)+0.5*sigma^2*T)/(sigma*sqrt(T)); d2 =(log(X./Y)-0.5*sigma^2*T)/(sigma*sqrt(T)); exact = X.*normcdf(d1)-Y.*normcdf(d2)thanks in adva...
by me2008
February 14th, 2008, 10:46 pm
Forum: Student Forum
Topic: Boundary Conditions for a euro call 2 asset
Replies: 0
Views: 58425

Boundary Conditions for a euro call 2 asset

Hi I have derived the black scholes equation on 2 assets and i'm just a little confused on the boundary condtions. my option is V(s1,s2,t) and just would like any help on what the boundary conditions would be. thanks in advance.