All Questions
Tagged with programming option-pricing
10 questions
4
votes
1
answer
841
views
Bartlett's delta gives wrong signs for calls and puts
There is a paper by Bruce Bartlett introducing a modified delta for SABR model which accounts for the correlation between forward and volatility processes. The main result of the paper is that if $dF$ ...
- 853
4
votes
1
answer
468
views
Finite Difference method in Matlab for SABR volatility model fails to provide correct option values
Currently, I'm trying to implement a Finite Difference (FD) method in Matlab for my thesis (Quantitative Finance). I implemented the FD method for Black-Scholes already and got correct results. ...
- 117
11
votes
3
answers
2k
views
Reference on Markov chain Monte Carlo method for option pricing?
I have to implement option pricing in c++ using Markov chain Monte Carlo. Is there some paper which describes this in detail so that I can learn from there and implement?
- 119
6
votes
2
answers
6k
views
Numerical simulation of Heston model
I am trying to simulate on Python random paths for a general asset price as described by the Heston model:
\begin{equation}
\begin{aligned}
dS_t &= \mu S_t dt + \sqrt{\nu_t} S_t dW^S_t \\
d\nu_t &...
2
votes
2
answers
837
views
Problem with the maximum likelihood for a GARCH-type of model
I'm currently working with the following GARCH process from Heston and Nandi (2000):
\begin{align*}
r_{t+1} - r_f &= \lambda h_{t+1} - \frac{h_{t+1}}{2} + \sqrt{h_{t+1}}z_{t+1} \\
h_{t+1} ...
- 2,536
2
votes
1
answer
553
views
Gamma for a basket option in Python - Finite Differences vs. AAD Autograd library using Heaviside Approximation
I have been trying to use the Heaviside Approximation for a simple basket option so that I can solve for Gammas with AAD (Adjoint Automatic Differentiation). This routine smooths the payoff function ...
- 137
2
votes
1
answer
979
views
How to price touch options using quantlib?
I am new to quantlib and I want use it to to price a touch option (single/double).
I searched on google for example code but I could not find anything. Hence, I am ...
- 123
2
votes
1
answer
343
views
SABR PDE spot/forward upper boundary condition implementation
When running my Finite Difference code, I observe something odd.
Although implementing a classical (non-reverting) SABR model, I initialized the variables such that it should be equal to Black-...
- 117
1
vote
0
answers
61
views
HNGARCHFIT in R (No standard deviations or P values printed)
When I estimate an HN-GARCH model using the hngarchfit() from the fOptions package in R, only the coefficient estimates are printed. There are no standard deviations or P-values printed. Does anyone ...
- 61
0
votes
1
answer
2k
views
CDS Option pricing in quantlib python
I am newbie in Python and I am trying to price a CDS Option in quantlib Python. I have the below code:
...
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