Timeline for How should I calculate the implied volatility of an American option in a real-time production environment?
Current License: CC BY-SA 3.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Mar 4, 2012 at 15:33 | comment | added | onlyvix.blogspot.com | @Brian, please elaborate. | |
| Sep 15, 2011 at 19:54 | comment | added | Brian B | Control variates are not just for Monte Carlo. | |
| Sep 14, 2011 at 17:18 | comment | added | onlyvix.blogspot.com | Control variates? He's pricing vanillas, why would he be doing MC? | |
| Aug 12, 2011 at 18:11 | vote | accept | Tal Fishman | ||
| Sep 14, 2011 at 18:12 | |||||
| Aug 12, 2011 at 18:09 | comment | added | Brian B | I have not looked at Matlab in a while. For tricks, I suggest Quantitative Methods in Derivatives Pricing by Domingo Tavella. | |
| Aug 12, 2011 at 18:03 | comment | added | Tal Fishman | Thanks! Do you know of any good references on control variates? I am not familiar with the technique. What is it, broadly? Are there other techniques? Are any of these already built in to the Matlab CRRTree toolbox function? | |
| Aug 12, 2011 at 17:58 | history | answered | Brian B | CC BY-SA 3.0 |