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

August 27th, 2020, 7:57 pm

page 47, (2.21)

what's speed when [$]T = 0[$] (figure 12 only goes to [$]T = 10[$]).
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

September 3rd, 2020, 1:42 pm

page 47, (2.21)

what's speed when [$]T = 0[$] (figure 12 only goes to [$]T = 10[$]).
not defined, options with T=0 do not exist, they have expired. Also mathematically not defined in formula as undefined to divide by zero.
 
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

September 5th, 2020, 4:27 pm

page 47, (2.21)

what's speed when [$]T = 0[$] (figure 12 only goes to [$]T = 10[$]).
not defined, options with T=0 do not exist, they have expired. Also mathematically not defined in formula as undefined to divide by zero.
I use the Complex Step Method (CSM) to compute derivative of Gamma payoff (i.e. delta) to give speed payoff as discussed in the Stupid Question thread (it doesn't exist as an ordinary function but as a generalised function (distribution)). Solved to my own satisfaction.

Speed corresponds to doublets and dipoles in potential theory.

I would qualify eq 2.21 with [$]T \ne 0[$].
Last edited by Cuchulainn on September 5th, 2020, 4:32 pm, edited 2 times in total.
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

September 5th, 2020, 4:30 pm

I am now testing the PDE for Vanna; it has terms for Speed and Gamma as inhomogeneous terms. I am getting the right profile but a factor of 4 overshoot. The last frontier in Griekenland.
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

September 5th, 2020, 11:01 pm

I am now testing the PDE for Vanna; it has terms for Speed and Gamma as inhomogeneous terms. I am getting the right profile but a factor of 4 overshoot. The last frontier in Griekenland.

Ah yes, the only options Greek named for a game show co-host!
 
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

September 5th, 2020, 11:04 pm

And no, as best as we can tell she is not related to Alan (or as clever tongues will have it, Hulland) White.
 
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

September 6th, 2020, 11:09 am

I am now testing the PDE for Vanna; it has terms for Speed and Gamma as inhomogeneous terms. I am getting the right profile but a factor of 4 overshoot. The last frontier in Griekenland.

Ah yes, the only options Greek named for a game show co-host!
Models on Models?

Names like vomma, ultima, vega  bleed, zomma, charm less so 
"Compatibility means deliberately repeating other people's mistakes."
David Wheeler

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

September 6th, 2020, 2:27 pm

I am now testing the PDE for Vanna; it has terms for Speed and Gamma as inhomogeneous terms. I am getting the right profile but a factor of 4 overshoot. The last frontier in Griekenland.

Ah yes, the only options Greek named for a game show co-host!
Models on Models?

Names like vomma, ultima, vega  bleed, zomma, charm less so 

Yeah - somehow a date with Vomma doesn’t sound so hot.
 
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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

September 6th, 2020, 5:22 pm

Aka this (not a Greek) river! Can you guess?

Image
"Compatibility means deliberately repeating other people's mistakes."
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