March 29th, 2008, 6:30 pm
QuoteOriginally posted by: TraderJoeQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: TraderJoeQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: londonerAnyone can suggest which numerical method works best for computing the value of an american put option? e.g. least-square, duality, etc.Define bestConvergence, speed and accuracy - the usual suspects.Bingo!And when all these quality characteristics are realised, software maintainability becomes paramount, at least in complex applications.But many applications don't start life with maintenance in mindISO9126 QuoteConvergence, speed and accuracyOk, what are the best methods for American options?Monte Carlo. Followed by trees, followed by FDM (Crank-Nicolson).Cheers.Also sprach Trader Joe Who agrees? disagrees?
Last edited by
Cuchulainn on March 28th, 2008, 11:00 pm, edited 1 time in total.