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by pcaspers
April 2nd, 2016, 11:42 am
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 8531

Put-Call-Bermudan

<t>QuoteOriginally posted by: Billy7Hi,Can I ask what method did you use to handle the early exercise?Are we really pricing the same thing (the way Alan described it), or maybe we are missing something?Yes, I also have the feeling that we are maybe talking about different things. Maybe I just sketch...
by pcaspers
April 1st, 2016, 5:30 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 8531

Put-Call-Bermudan

<t>Mmh, with your setup (5y maturity, S0=K=100, 5*52 steps, r=2%, q=6%) I get (using a Monte Carlo Simulation with 4096 calibration and 4096 pricing paths)American put = 37.2237American call generating a put = 53.5415While the usual put seems to be consistent with your pricing below, the new option ...
by pcaspers
April 1st, 2016, 3:23 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 8531

Put-Call-Bermudan

I still need some time to set up the equity case in order to be able to talk to you ... coming back soon ...
by pcaspers
March 31st, 2016, 3:45 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 8531

Put-Call-Bermudan

Mathematica is quick, but C++ is joy ... even if it takes a bit longer ...
by pcaspers
March 31st, 2016, 11:28 am
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 8531

Put-Call-Bermudan

<t>QuoteOriginally posted by: PaulNumerically it will take twice as long as a simple Bermudan.PIt's even a bit simpler, you just roll back the "secondary" option and decide whether to exercise this one and - in a shadow lattice say - whether to exercise the "primary" option. The condition for the la...
by pcaspers
March 30th, 2016, 12:55 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 8531

Put-Call-Bermudan

<t>Not sure, doesn't seem to be the same at first sight (but I may be wrong). It's quite simple, you have an american (or bermudan) option and once you exercise you get another option (but of the opposite type, i.e. a put, if you started with a call and vice versa), which you then may or may not exe...
by pcaspers
March 28th, 2016, 3:14 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 8531

Put-Call-Bermudan

by pcaspers
March 28th, 2016, 3:13 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 8531

Put-Call-Bermudan

<r>QuoteOriginally posted by: AlanMy intuition on this problem is obviously from equities.If there is a precise translation of the term sheet and model into that language, that would be helpful to hear.I don't know much about equities, so it seems we can not talk to each other <E>:-)</E> ... I think...
by pcaspers
March 28th, 2016, 8:33 am
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 8531

Put-Call-Bermudan

Thanks Alan. My setup seems to correspond to an equity-with-dividend-flows one, since the underlying has coupon payments. That probably changes things.
by pcaspers
March 27th, 2016, 6:23 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 8531

Put-Call-Bermudan

<t>Oh, sorry. I realize now that put and call should be call (to be exercised first) and put (coming into existence by the call exercise) rather. Does that change your argument ?In any case the context is a two factor interest rate / credit spread model, and the call and put are credit linked payer ...
by pcaspers
March 27th, 2016, 8:54 am
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 8531

Put-Call-Bermudan

<t>You mean, the put is exercised on the first possible date always and the call which is generated by this exercise is then a usual Bermudan call on the rest of the grid (a detail of the term sheet is that you can not exercise the call on the same date as the put)?Let's see what the implementation ...
by pcaspers
March 25th, 2016, 3:45 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 8531

Put-Call-Bermudan

I meant a payoff in the sense how Alan described it. And yes, the roll back procedure looks sensible. I will give it a try in the new few days and see what comes out. Thank you all.
by pcaspers
March 25th, 2016, 7:11 am
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 8531

Put-Call-Bermudan

Maybe the better description is: You have a Bermudan put and if exercised on t_i this generates a Bermudan call on the exercise grid t_{i+1}, ... , t_n. Strikes are all the same.
by pcaspers
March 24th, 2016, 7:08 pm
Forum: Technical Forum
Topic: Put-Call-Bermudan
Replies: 79
Views: 8531

Put-Call-Bermudan

<t>Consider the following option. Exercise dates are on t_1, t_2, t_3, ... , t_n. You have an underlying and may exercisea) a put on t_i, then a call on t_j, for one pair (i,j) with i<j, but only on one pair of dates. or alternativelyb) a put on t_i for one of the iWhat is this, is it something fami...
by pcaspers
March 12th, 2016, 6:50 pm
Forum: Programming and Software Forum
Topic: -frandom-seed=
Replies: 7
Views: 4338

-frandom-seed=

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: pcaspersI just learned that this is a gcc option - can someone clarify why a compiler needs a random number stream ?Hi pc,You were doing some *parallel* random number generators in C++. Is that open source and easily plugged into oth...