Exotic Options

Akalyptos · June 24th, 2004, 8:45 pm

Hi all,I am currently writting my dissertation on exotic options, focusing mostly on Asians. I am trying to find a VBA code for Vecer's approach " A new PDE approach for pricing arithmetic Asians". Anyone who can help....? Thanks

BAtCH · June 24th, 2004, 9:13 pm

Hi akalyptos,I am also writing my dissertation on Path-depedent options. Can you give me a link to this article? I may be able to help, even though I suck in VBA.CHeeRs

Akalyptos · June 24th, 2004, 9:21 pm

What a likely coincidence. Well we can make a deal. I give you the site and you give me any VBA code you have available in Path - dependent option. Sounds fair?http://www.math.nyu.edu/~tk451/Ms_papers/asianPDE.pdf

doublebarrier2000 · June 30th, 2004, 9:02 pm

this file has good VBA for many exoticsdownload

spoona13 · July 1st, 2004, 4:37 am

Hi doublebarrier2000,could u pls give some instructions to d/load the zip file as i am having difficulty accessing the file. i logged into msn users but was able to go any further. TIA.Spoona13

Anton · July 1st, 2004, 7:04 am

Akalypte, have a look at Vecer's paper "Unified Asian pricing", it improves the method of the paper you have uploaded.A.

Akalyptos · July 3rd, 2004, 7:05 pm

Doublebarrier2000 thanks for the link first of all, but i am also having problems connecting to that. Could u please send it again?Thanks

Akalyptos · July 3rd, 2004, 7:08 pm

Anton u have a good point there. I found the article in Risk.Many thanks