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seen Jun 27 at 17:23

Just this guy, you know?


Jun
17
awarded  Critic
Mar
7
awarded  Yearling
Aug
12
awarded  Nice Answer
Apr
11
comment Black-Scholes No Dividends assumption
For American-style options that is incorrect. The price will differ depending on how you "get to" the forward price. That is, you will end up with a different price for an option depending on your dividend assumption even if the forward is the same.
Mar
18
comment Discrete-time model: stock dynamics
Fur currencies, keep in mind that you don't have complete freedom --- if you specify EUR-USD and USD-JPY dynamics, then the EUR-JPY dynamics are fixed... (If you specify all currencies against some fixed given currency, say XXX-USD for all other currencies XXX you avoid this problem, but there are other annoyances with this approach, this simplest being variation in quoting conventions for various currencies, e.g. EUR-USD vs. USD-JPY.)
Mar
17
comment Longstaff Schwartz method
you're much more likely to get a response if you clean up the code, make it look readable, etc. (and that may help you find your bug even).
Mar
15
awarded  Teacher
Mar
15
answered Methods for pricing options
Mar
11
comment Methods for pricing options
I don't really understand the question. To my mind, the question of which model you use (Black-Scholes / Bachelier / local-volatility / Hull-White / etc.) is orthogonal to the numeric technique you use to implement (solve) the pricing (analytic formula / Monte-Carlo / *nomial tree / finite-difference (pde) / etc.)
Mar
7
awarded  Supporter