Rustam
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 Aug 12 answered Black model - volatility estimation Aug 6 answered Duration of a floating rate note Jul 4 answered expected value of the discounted payoff Jun 27 awarded Commentator Jun 27 comment How to numerically obtain delta? in this case it's hard for me to tell anything without looking at actual code and values Jun 27 comment How to numerically obtain delta? But basically I'd suggest you to check if your black-scholes price coincides with Matlab's blsprice. Jun 27 comment How to numerically obtain delta? That's really interesting. I never used gradient function to calculate derivatives manually. In case C(:) is vector of call prices and S(:) is vector of spot prices, I calculate delta numerically like this: Delta = diff(C)./diff(S). Jun 27 revised Change option B&S pricing Forgot about T Jun 26 comment How to numerically obtain delta? I can only imagine option with non-smooth value, like barrier option close to the barrier. In this case numerical derivative might give result very different from analytical one. Could it be your case? Jun 26 answered Change option B&S pricing Jun 21 comment Applicability of PCA to get historical volatilities to calibrate interest rates trees 3) I completely agree with you that first eigenvector would not give a great estimate, it will explain 20-40% of all variability of the curve. But! Maybe it is still better then simple historical volatilities? Jun 21 comment Applicability of PCA to get historical volatilities to calibrate interest rates trees 2) Not sure whether that question is quite relevant, because the guy in there wants to price option on basket, while I want to model short rate using information on dynamics of the whole curve Jun 21 comment Applicability of PCA to get historical volatilities to calibrate interest rates trees 1) 1D tree is a kind of nonsense, sorry for that. I meant, well, usual tree in two dimensions - asset and time. Now, such tree is built using two 1xN vectors - interest rate curve and volatility. Example code here link Jun 21 answered What is the analytic value of an asset's risk contribution, if $n=2$? Jun 20 awarded Autobiographer Jun 20 answered Does YTM represent interest? Jun 20 awarded Supporter Jun 20 comment Applicability of PCA to get historical volatilities to calibrate interest rates trees You see, I want to build 1D flat tree, the question is only how would it be better to choose volatility structure to calibrate the model. The choice I see now is use either straightforward historical volatilities without any account for correlations, or calculate covariance matrix and take first PCA component from it. In both cases I have 1xN vector with volatilities, which I (technically) can use as a starting point of building a tree Jun 20 revised How to estimate real-world probabilities Added missing words Jun 20 awarded Teacher