Sulprobil

Search…

Options

A classic on implementing option models is
Les Clewlow and Chris Strickland: “Implementing Derivatives Models” (ISBN 0471966517)

Some error corrections of the first edition:

Page

Row

Correction

24

2 from top in figure 2.12

set coeffi**ci**ents

70

4 from bottom in figure 3.13

for j =Nj-2 downto -Nj**+1** do

70

Insert before last row of figure 3.13

C[1,-Nj] = C[1,-Nj + 1] - lambda_L

75

4 from bottom in figure 3.16

for j =Nj-2 downto -Nj**+1** do

75

Insert before last row of figure 3.16

C[1,-Nj] = C[1,-Nj + 1] - lambda_L

85

2 from bottom in figure 4.2

SD = sqrt( (**-**sum_CT2 **+** sum_CT * sum_CT / M ) **)** * exp(-2*r*T) / (M - 1)

89

2 from bottom in figure 4.5

SD = sqrt( (**-**sum_CT2 **+** sum_CT * sum_CT / M ) **)** * exp(-2*r*T) / (M - 1)

99

Delete row 9 from top

lnS = ln(S) = 4.6052 **<- delete this row**

I started to implement some of the algorithms in this book with Excel VBA.

Last modified 1yr ago

Copy link