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outrun
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Re: American Barrier options - reference prices

September 19th, 2017, 8:52 am

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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Collector
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Re: American Barrier options - reference prices

September 4th, 2018, 5:22 pm

 
 
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ppauper
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Re: American Barrier options - reference prices

September 4th, 2018, 8:30 pm

that's bizarre. I don't see how you can view that as anything other than numerical yet they seem to be talking about closed form analytical solutions
 
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bearish
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Re: American Barrier options - reference prices

September 4th, 2018, 10:29 pm

I think I'd go with the great Dane (and co-authors) on this one: An Efficient Exercise Boundary Search Algorithm for Valuing American Options
 
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bearish
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Re: American Barrier options - reference prices

September 4th, 2018, 10:30 pm

Hmm. I just noticed an odd coincidence in paper titles. I guess they were working on the same problem...
 
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ppauper
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Re: American Barrier options - reference prices

September 5th, 2018, 5:02 am

Hmm. I just noticed an odd coincidence in paper titles. I guess they were working on the same problem...
what coincidence?
the title of the one you linked should be "High Performance American Option Pricing"