Questions and Requests for new Features and Functionality

Cuchulainn · February 6th, 2012, 9:09 am

The thread for new functionality that you need that someone, somewhere has already created.e.g. I am testing "Exotic Options on 2 Assets" using FDM/ADE. I need exact solutions in C++. Maybe someone has done it (Quantlib?)Example of the interface.

Alan · February 6th, 2012, 2:52 pm

There was thread in the forum linking to the exact distribution for the maximum of two correlated BM's if I remember.I haven't coded it.

Cuchulainn · February 6th, 2012, 6:17 pm

QuoteOriginally posted by: outrunThe exchange option is 2D and has exact analytical solutions (Margrabe), it can be a simple test-case. I can generate a table for that. It's probably best if I add the exchange option to the BMLib functions, and also add a ubnit test. You might also be able to find benchmark numbers as external references. I'll look for that in my Haug book.Done 3 test models (exchange, product, quotients) exact after some blood, sweat and tears...Don't have the time to do the other 57 formulae, hence my post. I think it's time for a C++ book on exact formulae; any takers?

frenchX · February 6th, 2012, 6:24 pm

QuoteOriginally posted by: AlanThere was thread in the forum linking to the exact distribution for the maximum of two correlated BM's if I remember.I haven't coded it.I have a paper for that if you are interested. I can mail it if you want.

Cuchulainn · February 6th, 2012, 6:29 pm

QuoteOriginally posted by: frenchXQuoteOriginally posted by: AlanThere was thread in the forum linking to the exact distribution for the maximum of two correlated BM's if I remember.I haven't coded it.I have a paper for that if you are interested. I can mail it if you want.Can you place a link here? (see OP)

frenchX · February 6th, 2012, 6:47 pm

QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: frenchXQuoteOriginally posted by: AlanThere was thread in the forum linking to the exact distribution for the maximum of two correlated BM's if I remember.I haven't coded it.I have a paper for that if you are interested. I can mail it if you want.Can you place a link here? (see OP)Here the paper DanielThe correlation of the maxima of two correlated brownian motionI think I have also somewhere the joint distribution explicitely but it's quite ugly if I remember well. EDIT: here the other paper but the distribution is very ugly as I saidDouble lookback The best is to check this book by Douady?Closed Form Formulas for Exotic Options and their Lifetime Distribution?