It is hard to tell whether either is correct, unless you go through the calculation...something I would recommend. But it is but a second's work to spot which is incorrect, just look at the dimensions.P

QuoteOriginally posted by: PaulIt is hard to tell whether either is correct, unless you go through the calculation...something I would recommend. But it is but a second's work to spot which is incorrect, just look at the dimensions.PI tried doing that, to see which expression gives ~ sigma^2 in the numerator, but I must be missing something... sorry, I'm not bright enough such that it's a second's work

My god, what are they teaching in universities these days?!Strike and S have dimensions of $, t and T are time, sigma is inverse square root of time. So look at all of the terms in the denominator and see whether sigma or sigma squared is consistent with the other terms.Report back on your findings!P

These are useful tips as well!The sum of the logs is NOT the log of the sums

I think reading this book should be careful about how to derive each result or formula. I have seen people just blindly use the formulas without thinking about the meaning and how to get them.Collector, correct me if my way to read your book is not right.

I am testing some perpetual call options on pages 109-110 of Collector's book. My code in C+ and I checked his results OK.Now, I have parameters S = K = 100, r = b = 0.1, sig = 0.2 which ensure that the parameter y1 can be either zero or one, in which case eq. (3.3) can blow up because we have terms like 1/y1 and 1/(1-y1).Is my example pathological or am I missing some assumption in McKean/Merton?//Another off issue is that when I price with larger values oF T in the time-dependent model the prices do not converge to the perpertual price... there's no reason (without proof) why they should.

Anyone try to use the 1st edition .xls with Office 2007 ? Did it work or you find a way to make it work ? When I try I get messages like "opening VBA project in this file requires a component not installed. ... search MS Office online for VBA converters"One link for this is: http://support.microsoft.com/kb/926430None of the code is even visible. 2007 indicates it did not know how to process it [in the 'Project'] and remove it when loading. Visual Basic code I created in Excel spreadsheets [even from Office 95] does not have this problem and works fine.It appears the converter is about 27 meg but this one maybe to convert 2007 files backward.Both the university computers and a friend who has been the person creating DLLs for a major trading firm for 10 years saw the same problem, so it does not seem to be a problem with an incomplete installation.

rule number one - don't slavishly follow MS error messagesyou get this error message with old Excel 5 / 95, I thinkbut instead just go and change the macro security settings to low, re-load the file and your VBA code should reappear

I turned all security off and still same problem.

it works fine for me - try opening it in 2003 and saving it as Microsoft Office Excel Workbook or even, if you can, as an .xlsm and try again

QuoteOriginally posted by: spursfanit works fine for me - try opening it in 2003 and saving it as Microsoft Office Excel Workbook or even, if you can, as an .xlsm and try again================= Thanks that worked. Opening and saving with 2003 allowed it to be opened and run in 2007. 2007 would not save in 2007 format since it saves "....in macro-free workbooks."

A technical question: on page 204 of this book the price of a quotient option has the form S1/S2... What to do if S2 = 0 or just do not consider this spurious(?) case? edit: I can get the results in Table 5-1 numerically but with formula 5.2, not. Am I doing something wrong?

Hi everyone,I have got a question regarding the second edition. Is there a 3rd edition on the way? Because quite some vendors in Germany and other european countries don't have the second one available currently. Amazon.de for example lists availability in 1 to 3 weeks which is usually the case if the book is currently unavailable from the publisher. Amazon.co.uk doesn't even list the book to be unavailable from amazon itself.In the Wilmott book store, the book is listed but when I want to see the details, the store tells me that the page no longer exists.I already have one copy of the second one and want to buy a second copy for the office. So if a new edition is on the way it would be good to know.

Have you tried to contact the author (@Collector on Wilmott), you could try sending him a Private Message (the lock icon in the top lefthand corner).

Hi Daniel,I hesitated to bother him directly, but I guess you are right, it is the easier and probably faster way. I'll report back if/when I get a reply.