SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
Cuchulainn
Posts: 62394
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

June 22nd, 2020, 8:18 pm

N/A
Last edited by Cuchulainn on June 22nd, 2020, 8:20 pm, edited 1 time in total.
 
User avatar
Cuchulainn
Posts: 62394
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

June 22nd, 2020, 8:19 pm

Exhibit 3 Q1 = Q2 = 1

Type   Excel  Others
////////////////////////////////
P 13.0830 9.15872
C 0.0319 0.597435

Bit off.
 
User avatar
Collector
Posts: 4650
Joined: August 21st, 2001, 12:37 pm

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

June 27th, 2020, 9:47 am

that is strange, and what is the reason? error VBA code or something with built in function in Excel? or error in B. Soviet PC ?

Ex 3. Q1 = Q2 = 1

p: 9.1499
c:0.5889
 
User avatar
Cuchulainn
Posts: 62394
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

June 29th, 2020, 9:26 am

that is strange, and what is the reason? error VBA code or something with built in function in Excel? or error in B. Soviet PC ?

Ex 3. Q1 = Q2 = 1

p: 9.1499
c:0.5889
Yes, I agree. And all your other examples I agree with as well.

Originally, I had Q1 = Q1 = 1. For other cases I forgot to modify the boundary conditions, And the code

int Q1 = 1.0; int Q2 = 1.0;

was changed to 

int Q1 = 1.0; int Q2 = 0.5;

which didn't work.
 
User avatar
Collector
Posts: 4650
Joined: August 21st, 2001, 12:37 pm

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

June 29th, 2020, 6:08 pm

so all good? urgency solved? or?
 
User avatar
Cuchulainn
Posts: 62394
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

June 30th, 2020, 9:49 am

so all good? urgency solved? or?
All fine till now on my side for Spread options. We are are also testing novel PDE methods for spreads.
Of course, we want them for any payoff and any PDE.

And PDE models have the advantage that we do not need (semi-) analytical solutions which can break down for some parameter values. Nice if they exist but a helluva lot of work.

The other scheme can best be described as "Explicit Lithuanian ADE with some western influence (*)" and are even older than Soviet Splitting and the western quant's darling ADI method.

(*) I don't mean John Wayne.
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On