User Yian Pap

1 vote

Monte Carlo Method for American Call Option (No Dividends)

answered Mar 11, 2019 at 0:15

0 votes

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Quasi Monte Carlo

answered Aug 5, 2018 at 15:21

2 votes

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SABR PDE spot/forward upper boundary condition implementation

answered Jun 15, 2018 at 18:00

0 votes

von Neumann boundary in the transformed PDE

answered Jun 16, 2018 at 17:24

1 vote

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

answered Jun 14, 2018 at 22:45

0 votes

Accepted

Finite Difference implicit scheme

answered Jun 14, 2018 at 20:04

1 vote

Simulation of arithmetic asian option

answered Mar 18, 2018 at 2:15

2 votes

Black Scholes and high dividend paying stocks

answered Mar 13, 2018 at 14:43

5 votes

Accepted

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

answered Mar 10, 2018 at 14:16

0 votes

Which barrier option has negative gamma?

answered Feb 9, 2018 at 12:54

3 votes

Least Squares Monte Carlo Method for Option Pricing - Basis functions

answered Dec 21, 2017 at 12:34

2 votes

Error in barrier option pricing Monte Carlo

answered Dec 6, 2017 at 14:58

1 vote

Benchmark value for American Options under stochastic volatility

answered Nov 29, 2017 at 18:33

1 vote

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Binomial Option Valuation Paul Wilmott

answered Nov 29, 2017 at 18:08

9 votes

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How are Brownian Bridges used in derivatives pricing in practice?

answered Nov 17, 2017 at 20:10

2 votes

PDE pricing of barrier options in BS

answered Sep 8, 2017 at 16:01

1 vote

FSGM for previously issued asian options

answered Oct 23, 2016 at 23:53

0 votes

How do you check your option calculations?

answered Jul 21, 2016 at 20:32

0 votes

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

answered Apr 2, 2016 at 19:14

2 votes

Foresight bias in least square monte carlo

answered Feb 8, 2016 at 16:05

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20 Answers

Monte Carlo Method for American Call Option (No Dividends)

Quasi Monte Carlo

SABR PDE spot/forward upper boundary condition implementation

von Neumann boundary in the transformed PDE

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

Finite Difference implicit scheme

Simulation of arithmetic asian option

Black Scholes and high dividend paying stocks

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

Which barrier option has negative gamma?

Least Squares Monte Carlo Method for Option Pricing - Basis functions

Error in barrier option pricing Monte Carlo

Benchmark value for American Options under stochastic volatility

Binomial Option Valuation Paul Wilmott

How are Brownian Bridges used in derivatives pricing in practice?

PDE pricing of barrier options in BS

FSGM for previously issued asian options

How do you check your option calculations?

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

Foresight bias in least square monte carlo