Hello,Is there a market consensus on which model to use for pegged currencies?Thanks

<t>QuoteOriginally posted by: outrunI expect a simple closed form computation to cost the same as a couple of grid nodes in the PDE: e.g. maybe 12 nodes. If you do a PDE on a 300x700 grid then the speedup is 300*700/12. Another benefit for closed form is that it is also exact. The PDE needs a large ...

Hello,I'm pricing a european option. Spot is model as a geometric brownian motion.What speed ratio can I expect between the pricing in closed form and PDE pricer?The PDE Engine being implemented in FDE.European Option is a 1y atm call.I'm looking for an order of magnitude.Thanks

Thanks Alan.

<t>Consider an underlying S under local volatility modelling, S follows the stochastic differential equation[$] \frac{dS}{S} = r dt + \sigma (t, S) dW_t [$]For each [$]t[$], we know the distribution of [$]S_t[$] via the implied volatility.What is the simplest way to compute the distribution of[$] \m...

Hi,Is there a simple way to have the distribution of the maximum to date from the implied volatilty?Thanks

Hi,Has anybody seen a study about the impact of the choice of interpolation for vol surface?Thanks

Thx emac

Hi,Given two correlated brownians and , correlation is rho, what is the joint law of?Thanks for your help

how to hedge a product that pays 1 anytime or 1 at maturity?(counterparty can be irrationnal)

elampert:is there a clever way to do it?

Hi,Could someone give a simple example for a product(and market condition) where a stoch vol model would clearly price higher than a loc vol model(and vice-versa)?Thanks

Some of them can be dedicated to stamping earth rather than digging.Anyway these guys would quickly die due to the lack of oxygen, unless one of them can master the one-inch punch technique

thanks

Hi,has anyone seen a formulation of the heston model WITH cash dividends?Thanks