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las
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Posts: 1
Joined: August 3rd, 2005, 5:37 am

Can anyone explain this?

September 18th, 2008, 3:15 am

In the equation below how do I get from the left side to the right side of the equality sign?Is the related to the diffusion equation?Thanks in advancelas
 
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gjlipman
Posts: 5
Joined: May 20th, 2002, 9:13 pm

Can anyone explain this?

September 18th, 2008, 5:50 am

It is to do with the formula for the N(x). There is an appendix to the BSM chapter of Hull that goes through a similar exercise - have a read through that and you should be able to apply the same logic to this formula.
 
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Antonio
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Joined: June 30th, 2004, 3:13 pm
Location: Imperial College London
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Can anyone explain this?

September 18th, 2008, 1:39 pm

Try to go from the right side to the left side.
 
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amit7ul
Posts: 0
Joined: December 7th, 2004, 8:36 am

Can anyone explain this?

September 19th, 2008, 7:42 am

it should be w^2 and not w in the power of e
 
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las
Topic Author
Posts: 1
Joined: August 3rd, 2005, 5:37 am

Can anyone explain this?

September 22nd, 2008, 4:25 am

Thank you for spotting that. I corrected the formula now.
 
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amit7ul
Posts: 0
Joined: December 7th, 2004, 8:36 am

Can anyone explain this?

September 22nd, 2008, 12:13 pm

i guess completing the square in the exponent might do the trick..make the integrand look like exp(-z.z/2)
 
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Paul
Posts: 6604
Joined: July 20th, 2001, 3:28 pm

Can anyone explain this?

September 22nd, 2008, 3:41 pm

Complete the square, shift the origin and scale. (Are you sure there isn't still a w missing? Dimensions look odd.)P
 
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list
Posts: 0
Joined: October 26th, 2005, 2:08 pm

Can anyone explain this?

September 25th, 2008, 4:19 pm

omega^2 should be with the sign minus. e^(better + gammaT) could be moved outside the integral as a constant. it looks that gamma^2 on the right is incorrect, should be gamma. make a change variable: u = w/sqrt of T. upper and low limits for u will be (better or k / sqrt of T ). Next make a correction in your formula or check the initial formula.