PWIQF Barrier Options Formulas

plessas · March 5th, 2003, 6:47 pm

I was having the same problem... thats why I started the thread... if you read a few messages back you will find the mistake to be that all Se^{q(T-t)} should be Se^{-q(T-t)}rgds,Dimitris

karsty · March 6th, 2003, 11:08 am

Well, changing Seqt to Se-qt fixes the calls, but looks to me like the problem with the up-put formulas is more fundamental. Anyway I'm happy with the results from the mathfinance calculator. Thanks!

mj · April 19th, 2003, 10:31 am

On p202 of "Derivatives," there is a formula for a down and out call option with barrier in the money. I reckon that d_3 and d_4 are the wrong way around.I think this because it is the term with coefficient S that has drift r+0.5sigma^2 when we take S as numeraire to value it. Maybe I am missing something. Urgent response requested.MJ

mj · April 23rd, 2003, 9:09 am

someone must have an opinion on this!MJ