Skip to main content
Yian Pap's user avatar
Yian Pap's user avatar
Yian Pap's user avatar
Yian Pap
  • Member for 8 years, 4 months
  • Last seen this week
9 votes
Accepted

How are Brownian Bridges used in derivatives pricing in practice?

5 votes
Accepted

Why is there a difference in American option prices when comparing pricing methods (Python)?

3 votes

Least Squares Monte Carlo Method for Option Pricing - Basis functions

2 votes

Foresight bias in least square monte carlo

2 votes

PDE pricing of barrier options in BS

2 votes

Black Scholes and high dividend paying stocks

2 votes

Error in barrier option pricing Monte Carlo

2 votes
Accepted

SABR PDE spot/forward upper boundary condition implementation

1 vote

Finite Difference method in Matlab for SABR volatility model fails to provide correct option values

1 vote

Simulation of arithmetic asian option

1 vote

FSGM for previously issued asian options

1 vote
Accepted

Binomial Option Valuation Paul Wilmott

1 vote

Benchmark value for American Options under stochastic volatility

1 vote

Monte Carlo Method for American Call Option (No Dividends)

0 votes

Which barrier option has negative gamma?

0 votes

Can call options be priced with Least-Squares Monte Carlo?

0 votes

How do you check your option calculations?

0 votes
Accepted

Finite Difference implicit scheme

0 votes

von Neumann boundary in the transformed PDE

0 votes
Accepted

Quasi Monte Carlo