Yes, I agree. And all your other examples I agree with as well.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
All fine till now on my side for Spread options. We are are also testing novel PDE methods for spreads.so all good? urgency solved? or?
not defined, options with T=0 do not exist, they have expired. Also mathematically not defined in formula as undefined to divide by zero.page 47, (2.21)
what's speed when [$]T = 0[$] (figure 12 only goes to [$]T = 10[$]).
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.not defined, options with T=0 do not exist, they have expired. Also mathematically not defined in formula as undefined to divide by zero.page 47, (2.21)
what's speed when [$]T = 0[$] (figure 12 only goes to [$]T = 10[$]).
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.
Models on Models?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?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!
Names like vomma, ultima, vega bleed, zomma, charm less so