January 6th, 2016, 7:56 pm
QuoteOriginally posted by: spursfanOutrunThe 2006 paper is not worth chasing - last time I heard the "quasi-closed form" took at least a day to runIf you want to read something, the Joshi paper on truncation and acceleration is much more valuableMikeWhat I did was run the code on the night shift.BTW how long does NT = 2 000 000 take using Joshi's method?Quote An exact and explicit solution for the valuation of American put options"Nonsense. No such thing as exact solution for nonlinear problems, IMO. To misquote J v N"Any one who considers exact solutions to solving problems, of course, in a state of sin."
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Cuchulainn on January 5th, 2016, 11:00 pm, edited 1 time in total.