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outrun
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Re: American Barrier options - reference prices

September 19th, 2017, 8:52 am

Cuchulainn wrote:
Like  I said, my impression that the v boundary was truncated. A remedy is to write the system of equations and then you see what v0 etc. But that is NDA!

Something like this and then it is clear.

http://ac.els-cdn.com/S0898122111002811 ... bc7e3d7e8c

v0??
stop using v0 wrongly. :-D You're still doing it.
 
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Cuchulainn
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Re: American Barrier options - reference prices

September 21st, 2017, 4:42 pm

I posted on wrong thread. I meant to put it here.

You're beginning to sound like a Dutch uncle.
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