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athos20145
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Joined: July 14th, 2002, 3:00 am

Option pricing model (Part 2)

November 11th, 2016, 8:16 pm

Hi. Martingale pricing changing volatility binomial tree accounting for excess kurtosis and negative skewness of price distribution of underlying security, and price is calculated virtually istantly on a standard PC. Model can price both European and American options. Comments are more than welcome. Paper link: https://mpra.ub.uni-muenchen.de/74962/

Athos
 
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Cuchulainn
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Re: Option pricing model (Part 2)

November 15th, 2016, 9:37 pm

Ciao Athos,
I had a cursory look. My 2 cents
1. How does the approach compare to other methods in various ways?
2. Stressing, e.g. large/small values of r and sig. e.g. see here
viewtopic.php?f=34&t=99385&p=771960&hil ... ce#p771960
3. Theoretical accuracy issues
4. Code; loops have if else logic .. choose P or C _once_ using a function outside the loop. Setting ptree initially to NaN is wise? when not set it to MAX_VALUE?
a presto
 
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athos20145
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Posts: 7
Joined: July 14th, 2002, 3:00 am

Re: Option pricing model (Part 2)

November 18th, 2016, 6:31 pm

Hi Daniel. Thank you for your comments.