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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

N/A
Last edited by Cuchulainn on June 22nd, 2020, 8:20 pm, edited 1 time in total.
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Cuchulainn
Posts: 62608
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

Exhibit 3 Q1 = Q2 = 1

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

Bit off.
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
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Collector
Posts: 4685
Joined: August 21st, 2001, 12:37 pm

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

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

Cuchulainn
Posts: 62608
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

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.
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl

Collector
Posts: 4685
Joined: August 21st, 2001, 12:37 pm

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

so all good? urgency solved? or?

Cuchulainn
Posts: 62608
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

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.
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl

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