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by Cuchulainn
January 12th, 2021, 2:46 pm
Forum: Technical Forum
Topic: Benchmark tests: KO European and American double barrier options
Replies: 22
Views: 548

Re: Benchmark tests: KO European and American double barrier options

Thanks!. Now I know this particular scheme is good. It also implies that all the underlying maths has been stressed tested.
by Cuchulainn
January 11th, 2021, 8:33 pm
Forum: Technical Forum
Topic: Benchmark tests: KO European and American double barrier options
Replies: 22
Views: 548

Re: Benchmark tests: KO European and American double barrier options

Or, in Paul's spirit, the BS value with no barrier, is 6.25, so the barriers don't much matter and let's all go home.   :D That's a good answer to a question that was not asked. I asked to 6 digits. My final American price is 6,25389 Vote agree/don't agree and then I can go home  :roll: Remember th...
by Cuchulainn
January 11th, 2021, 8:28 pm
Forum: Numerical Methods Forum
Topic: 100 millions time faster than ODE methods
Replies: 32
Views: 6410

Re: 100 millions time faster than ODE methods

Cork student wins Young Scientist 2021 with 'deepfake' detection software https://www.irishexaminer.com/news/munster/arid-40203374.html The project uses a sophisticated artificial intelligence software program that can efficiently detect DeepFake media with state-of-the-art accuracy. The software, ...
by Cuchulainn
January 11th, 2021, 8:15 pm
Forum: Technical Forum
Topic: Benchmark tests: KO European and American double barrier options
Replies: 22
Views: 548

Re: Benchmark tests: KO European and American double barrier options

Actually, I would be expecting 100 digits accuracy. Something like
262537412640768743.999999999999250072597198185688879353856337336990862707537410378210647910118607313
by Cuchulainn
January 11th, 2021, 7:10 pm
Forum: Off Topic
Topic: Bad reporting
Replies: 241
Views: 36057

Re: Bad reporting

Why did they stop making such men? Sigh.
It was the whiskey in those days.
by Cuchulainn
January 11th, 2021, 6:48 pm
Forum: Technical Forum
Topic: Benchmark tests: KO European and American double barrier options
Replies: 22
Views: 548

Re: Benchmark tests: KO European and American double barrier options

No, best exercise for students is what is vol to nearest 5%? And how much are you willing to bet?
UVM case? Worst and best? 
If yes, then yess.
by Cuchulainn
January 11th, 2021, 6:39 pm
Forum: Off Topic
Topic: Random quotes
Replies: 406
Views: 35898

Re: Random quotes

duce.jpg
duce
by Cuchulainn
January 11th, 2021, 5:44 pm
Forum: Technical Forum
Topic: Benchmark tests: KO European and American double barrier options
Replies: 22
Views: 548

Re: Benchmark tests: KO European and American double barrier options

So, better exercise for students: what are the results to 30 digits? Now there's a benchmark.   https://forum.wilmott.com/images/smilies/icon_e_biggrin.gif No. Better to expose them to as many numerical methods as possible to many kinds of problems. // 30 digits implies going down the multiprecisio...
by Cuchulainn
January 11th, 2021, 1:37 pm
Forum: Technical Forum
Topic: Benchmark tests: KO European and American double barrier options
Replies: 22
Views: 548

Re: Benchmark tests: KO European and American double barrier options

XY=53 WZ=94 European delta and gamma: .5792  .025 American delta and gamma: .6033  .031 European 6.164452, 0.57919, 0.025073 American 6.2543881, 0.603344, 0,03079 I am not using Crank Nicolson and etc. but Method of Lines  and then an adaptive ODE solver in time. For early exercise, I used both the...
by Cuchulainn
January 10th, 2021, 8:43 pm
Forum: Off Topic
Topic: Bad reporting
Replies: 241
Views: 36057

Re: Bad reporting

by Cuchulainn
January 10th, 2021, 3:46 pm
Forum: Off Topic
Topic: Stupid question of the day
Replies: 2440
Views: 186299

Re: Stupid question of the day

Can we hold Rossini responsible for fire extinguishers being the cause of so may broke windows?

www.youtube.com/watch?v=3MRvDGd02mA
by Cuchulainn
January 10th, 2021, 3:44 pm
Forum: Off Topic
Topic: Bad reporting
Replies: 241
Views: 36057

Re: Bad reporting

Media are doing a good job - if it wasn't for them, I wouldn't know who the guy was.
Au contraire; It's just he was before your time.
by Cuchulainn
January 10th, 2021, 1:40 pm
Forum: Off Topic
Topic: trackstar's Needle Exchange
Replies: 421
Views: 45966

Re: trackstar's Needle Exchange

I’ll go with bobcat. Could have been mountain lion, but I don’t think we have those around here.
Jacob Anthony Chansley
by Cuchulainn
January 10th, 2021, 1:32 pm
Forum: Technical Forum
Topic: Benchmark tests: KO European and American double barrier options
Replies: 22
Views: 548

Benchmark tests: KO European and American double barrier options

// Call up-and-out-down-and-out value_type K = 100.0; value_type T = 0.25; value_type r = 0.1; value_type d = 0.0; value_type sig = 0.25; // Barrier parameters value_type L = 50.0; value_type H = 150.0; // Rebates value_type RebateL = 0.0; value_type RebateH = 0.0; S = 100 Euro = 6.1644 XY Amer = 6....
by Cuchulainn
January 10th, 2021, 12:42 pm
Forum: General Forum
Topic: Philosophy of Mathematics
Replies: 394
Views: 53016

Re: Philosophy of Mathematics

Probably #1 algorithm of 20th century Cooley-Tukey FFT

https://en.wikipedia.org/wiki/Cooley%E2 ... _algorithm
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