<r>Following my previous post, I found some information here:<URL url="http://www.nasdaq.com/symbol/fxi/option-chainNASDAQ">http://www.nasdaq.com/symbol/fxi/option-chainNASDAQ</URL> seems provide some information of the China ETFs, but I was wondering what are the terms: Last, Chg, Open Int?I also f...

<t>Dear all,I was wondering whether anyone here trades the options on China ETFs (in particular FXI, GXC, YAO, MCHI, FCHI, HAO, CHIQ).To be honest, I am not an option trader but a researcher.Currently I am interested in the implied volatilities abstracted from the options on China ETFs and want to i...

You simply discount the payoff using the realized interest rates ALONG EACH REALIZED SIMULATION. (for each time point s, u have random r(s) and S(s))The integral can be approximated by Gaussian quadrature or Riemann Integral.

<t>This is probably because Matlab uses entry-by-entry operation when applying Gaussian quadrature. In this case, your expression in terms of matrix becomes problematic. Try to define in entrywise sense as below: InvS = inv(S);FF = @(x,y,z) exp( InvS(1,1)*(x.*x)+InvS(1,2)*(x.*y)+InvS(1,3)*(x.*z)+ In...

<t>If it's an American bi-option strangle, then its value is the sum of its American put and call counterparts.If it's an American uni-option strangle, then the value is less than the sum.For American put, call and uni-option strangles, we can always find their values by simulation methods or using ...

Maybe it is more appropriate to refer to them as American bi-option and uni-option strangle contracts, respectively.

<t>I still dont understand why it can not be traded.It can be priced by Monte Carlo or using the pricing method derived in''Evaluation of American strangles [2005]' by Chiarella. Besides, even though a trader can sell the remaining right (either a put or a call) after the first-time exercise of the ...

<t>Dear all,Many thanks for your reply first.I have also checked with a consultant at Options Industry Council (OIC).As Acastaldo mentioned, most strangles and straddles are actually the portfolio of owning a put (at lower exercise price) and a call (at a higher strike price) at the same time with a...

Is there anyone who can kindly help?

<r>Dear all,I apologize first if my question below sounds silly to some of you.I am currently drafting an article on option trading, in particular the "American Strangle options".I understand the strangles are widely used for volatility trade, but was wondering what are their exercise types?Since a ...

Dear Mrbala,Will have a try and thanks.

<t>Dear Mrbala and Cuchulainn,I will look into the ADE method you mentioned here. And I use the FEM as it will provide me some elegant spatial discretization even in high dimenion.In fact, since the coefficient matrix after time and spatial discretization is so well-structured, I will be more intere...

<r>Dear Mrbala,Thnak you very much for your paper. It's very impressive on the computational times.As I did not dig deeper in your paper, please pardon me if my question sounds silly.In your approach, when you solve your linear system at each time step, is the linear system 9-band in 2D and 27-band ...

<t>Dear Cuchulainn,Thank you for your reply first. Actually I asked this question because I hardly found such a paper either.And yes, I wish to find a paper comparing different solvers without using log transformation but dealing with BS PDE straight.Any paper focusing on either computational time, ...

<t>Can anyone here recommend one or more papers "based on PDE approach" which compare different solvers for pricing "multi-asset" European and American options, especially on computational time, complexity of the numerical system and preconditioning? Hopefully these papers tackle the BS PDE without ...