Hello

Please can anyone help me?

I am trying to find articles in which numerical integration is used to value (equity) options other than standard European options.

Please could anyone give me an author/title or a link to any papers as (for my MSc course) I need to review an article and then replicate the valuation in excel/VBA (eek!!). At the moment, I am having trouble even finding something to review!

Thanks very much for your help

Jo

Look at the excellent book by M. Jackson and M. Staunton
Advanced modelling in finance using Excel and VBA
http://www.amazon.com/exec/obidos/ASIN/ ... 13-3528032

Chapter 12.6 Page 203

Function NIOptionValue(iopt, S, X, r, q, tyr, sigma, msd, nint)
' Values Option using Numerical Integration
Dim rnmut, sigt, h, sum, zi, payi
Dim i As Integer
rnmut = (r - q - 0.5 * sigma ^ 2) * tyr
sigt = sigma * Sqr(tyr)
h = 2 * msd / nint
sum = 0
For i = 0 To nint - 1
zi = -msd + (i + 0.5) * h
payi = Application.Max(iopt * (Exp(rnmut + zi * sigt) - X / S), 0)
sum = sum + payi * Application.NormDist(zi, 0, 1, False)
Next i
NIOptionValue = Exp(-r * tyr) * h * S * sum
End Function


Regards,
Alec

Alec
Thanks very much for this - unfortunately it is Mike who is taking our course...!

jo

good try - still another 10 days before the assignment is due

mike

Lucky you!
Anyway, that chapter could be a good starting point.

Good luck,
Alec

Dear Mr. Staunton,
Thank you very much for your book.
It is highly regarded in FinEng programs.
In my opinion, so far it is the best book on finmodeling for quant.students.

Regards,
Alec

What a small world!!!

More info about the book here.
P