So I am still trying to price an american swaption. (MC approach here: American Swaption Pricing with Monte-Carlo method) I've found in Paul Wilmott, The mathematics of financial derivatives, a PDE ...
I want to price an American swaption but I am not sure about what I am doing. Tree methods and PDE discretization seem difficult to adapt to a swaption. I am trying a Monte-Carlo approach. (in ...
I'm trying to replicate, with a binomial model, the price of an option obtained with a PDE. It doesn't really work, so I was wondering, if there are some caveats when doing that. The PDE model use a ...
I'm trying to understand the standard hedging argument to derive the Black--Scholes PDE. There's one aspect of the derivation which I can't get passed and I'd be very grateful for some clarification ...
I'm learning this material and I can follow the derivation of the BSM PDE fairly well. The only problem I have is there is an assumption in the derivation (that I am reading) that a stock price ...