http://directory.fsf.org/project/glpk/h ... ware/glpk/

<t>Hi Will,With 1000 scenarios all pivoting algs need to update a matrix of order 1000, so you need a storage of 1000^2, at least. I assume that you are using some simplex algorithm for dense problems. In fact your problem is sparse (as most MC methods are!), so you can write your algorithm for spar...

<t>QuoteOriginally posted by: CuchulainnI had a look at both Jaillet (1980) and A. Borici's papers. These papers do realise that the mesh size in S needs to be chosen in such a way that the resulting matix is a Z matrix. This is 5.1 in Jaillet and p. 6.7 in Borici.Actually, this phenomenon is well-k...

<t>QuoteOriginally posted by: TeneQuoteOriginally posted by: boriciQuoteOriginally posted by: CuchulainnThe Brennan Schwarz algo using Implicit Euler, LU and the standard check100, 100, P = 2.97486200,200, P = 3.04300,300, P = 3.060636400,400, P = 3.06462500, 500, P = 3.064269600,600, P = 3.06568700...

<t>QuoteOriginally posted by: CuchulainnThe Brennan Schwarz algo using Implicit Euler, LU and the standard check100, 100, P = 2.97486200,200, P = 3.04300,300, P = 3.060636400,400, P = 3.06462500, 500, P = 3.064269600,600, P = 3.06568700,7000, P = 3.0665683500, 3500, P = 3.0696654000,4000, P = 3.0700...

<t>QuoteOriginally posted by: CuchulainnThe Brennan Schwarz algo using Implicit Euler, LU and the standard check100, 100, P = 2.97486200,200, P = 3.04300,300, P = 3.060636400,400, P = 3.06462500, 500, P = 3.064269600,600, P = 3.06568700,7000, P = 3.0665683500, 3500, P = 3.0696654000,4000, P = 3.0700...

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: boriciQuoteOriginally posted by: CuchulainnQuoteYour prices may loose some residual option leverage to the holder, overestimating the price for the writer.Can you explain this? I get the same results as compared with *all* other meth...

<t>QuoteOriginally posted by: CuchulainnQuoteYour prices may loose some residual option leverage to the holder, overestimating the price for the writer.Can you explain this? I get the same results as compared with *all* other methods, so what am I missing here?For your scheme to be ok the sum of two...

<t>QuoteOriginally posted by: CuchulainnQuote1. Optimality. So, you got two optimal solutions! And then you do average them, don't you? The BS price is unique and your algorithm assumes otherwise! AOPT algorithm makes local updates of the solution and is exactly optimal at each step.I have two *part...

<t>QuoteOriginally posted by: CuchulainnQuoteI'd be delighted to see the proof that this method gives the optimal priceHere's my hunch. I refer to your paper.1. Instead of (2.9) based on theta method, and the resulting (2.13) use ADE sweeps and apply (2.13) to each sweep solution. Then average them....

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: boriciQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: boriciQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: boriciQuoteOriginally posted by: CuchulainnIn the explicit method ADE I check if the value is...

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: boriciQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: boriciQuoteOriginally posted by: CuchulainnIn the explicit method ADE I check if the value is greater than the intrinsic value. This is very straightforward, fast ...

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: boriciQuoteOriginally posted by: CuchulainnIn the explicit method ADE I check if the value is greater than the intrinsic value. This is very straightforward, fast and accurate and was wondering what the snag is in general with this a...

<t>QuoteOriginally posted by: CuchulainnIn the explicit method ADE I check if the value is greater than the intrinsic value. This is very straightforward, fast and accurate and was wondering what the snag is in general with this approach.?I still use exponential fitting with ADE because of the desir...

<r>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: boricihttp://<URL url="http://www.ifor.math.ethz.ch/publications/2005_borici_fast.pdfLooking"><LINK_TEXT text="www.ifor.math.ethz.ch/publications/2005 ... pdfLooking">www.ifor.math.ethz.ch/publications/2005_borici_fast.pdfLooking</LI...