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by Bazman2
April 19th, 2004, 6:44 pm
Forum: Technical Forum
Topic: Multi asset spread options
Replies: 1
Views: 189591

Multi asset spread options

<t>Hi,I have to price/hedge a multi asset basket option on asian options. I was planing to extend the algorithm given in the Haug's book p142.I just wondered how the accuracy is liable to hold up as the number of assets is increased?Also how are the greeks calculated. Can I simply blip each item in ...
by Bazman2
April 19th, 2004, 3:51 pm
Forum: Technical Forum
Topic: Spread Option - Green's v MC
Replies: 8
Views: 192892

Spread Option - Green's v MC

1.) I was just wondering was the model based on a paper/book if so which one.2.) Have you tried extending the model to multiple assets, if so how successful was it?3.) Using the Greens methos how easy is it to get the greeks out?ThanksBaz
by Bazman2
February 9th, 2004, 10:28 am
Forum: Technical Forum
Topic: asian options
Replies: 13
Views: 191724

asian options

<t>Cheers guys.It is indeed an options on a forward I am pricing.The calculation of the greeks is proving to be the biggest problem so far are these covered in the Alan Lewis papers?If not what papers are best for Asian greeks?If I do go for the finite differences approach realistically how much com...
by Bazman2
February 6th, 2004, 6:13 pm
Forum: Technical Forum
Topic: asian options
Replies: 13
Views: 191724

asian options

OK fair enough,Obvioulsy I realise I'd have to trade, I just wondered what models had been used in the industry and what were therelative pros and cons of each!
by Bazman2
February 6th, 2004, 5:12 pm
Forum: Technical Forum
Topic: asian options
Replies: 13
Views: 191724

asian options

<t>Hi,there seem to be loads of papers out there on potential asian option pricing techniques.I'm looking to price asian options on a commodity (ie I have a term structure), I just wondered if anyone had any recommendationsas to which pricing schemes were the best, my primary concerns being accuracy...
by Bazman2
January 28th, 2004, 2:29 pm
Forum: Numerical Methods Forum
Topic: Monte Carlo with non normal distributions
Replies: 6
Views: 190924

Monte Carlo with non normal distributions

<t>Hi all, I want to run a monte caro simulation to model the spread between two indices. Simple in theory simply get distributions fir the 2 indices and the correlation between them and then simulate. My problem is that the indices are not normal and cannot be accurately summerised with the 1st two...