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1d
comment Example of options that cannot be priced with least-square Monte Carlo
Are there at least examples where LSMC becomes unfeasible or unreliable?
Feb
2
comment Example of options that cannot be priced with least-square Monte Carlo
Ah, now I understand it. I was first thinking of something like a Cliquet options, where the "decision" is tied to market-data known at that time. But that's not the type of information you are talking about. Thanks for explaining.
Feb
2
comment Example of options that cannot be priced with least-square Monte Carlo
Why is the exercise decision not part of the path? The decision could be simulated along each path as well, right? Just like e.g. the stock price. The decision would have to be represented by a state variable during your LSMC, of course.
Feb
2
comment Example of options that cannot be priced with least-square Monte Carlo
But I first simulate N paths, then work my way backwards from the payoff date using LSMC. Along each path I "know" my past history, right? So where does the problem arise?
Feb
2
comment Example of options that cannot be priced with least-square Monte Carlo
Why is your second statement intuitive?
Jan
21
comment Market Making Literature
A standard on Market Microstructure is Harris: amazon.com/… . I'm not sure how it treats illiquid markets though.
Jan
14
revised Calculate control variate for monte carlo simulation
added 7 characters in body
Jan
14
answered Calculate control variate for monte carlo simulation
Jan
12
comment Valuation of option on amortized IR swap
Pricing it as a basket makes sense.
Jan
12
accepted Valuation of option on amortized IR swap
Jan
11
comment How to fit exogenous + GARCH Model In Python?
You're right: Python doesn't have a lat of packages for Time Series Analysis. There's arch and statsmodels, and that's about it. You might want to look at R, which has better support for time series.
Jan
5
asked Valuation of option on amortized IR swap
Dec
16
reviewed Approve Bloomberg data redistribution policy
Dec
11
comment Black Scholes Implied Volatility -> Put call parity
Did you take the bid-ask spread into account?
Dec
10
comment How do one solve $ \int_t^T \exp[\int_0^u-( r-\delta_s)ds] dW_u $? Double integral with general deterministic function $\delta(t)$
Are $r$ and $\delta_u$ deterministic or stochastic?
Dec
5
awarded  Yearling
Dec
4
awarded  Cleanup
Dec
4
revised Under what circumstances Veta is positive?
rolled back to a previous revision
Dec
4
reviewed Approve Under what circumstances Veta is positive?
Dec
4
reviewed Approve Estimate Beta of CAPM from Implied Volatility?