Vega PDE for american vallina option
Posted: June 14th, 2012, 7:58 pm
by Cuchulainn
QuoteOriginally posted by: AlanI don't know -- method 4?Assuming the trick works, a penalty term is needed.
http://citeseerx.ist.psu.edu/viewdoc/su ... 1.1.25.779
Vega PDE for american vallina option
Posted: June 15th, 2012, 4:51 am
by Cuchulainn
Quotehttp://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.25.779 Method #5Front-fixing y = S/B(t) to get NL PDE (19)-(24) for P. Now differentiate wrt to sig to get NL PDE in vega and B(t) an then solve by some standard method.This is similar to #2 except that B(t) and vega are solved together. This would be a good MSc/MFE (PhD?) project and a novel one (there are enough student MC project)