SetTheorist

274 reputation

	274 reputation	bio	website		visits	member for	2 years, 2 months
13 badges		location			seen	Mar 28 at 14:38

9 Actions

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